I've been using GLEW, OpenGL 4.2, and SFML 2 on Ubuntu 12.04 with an nVidia card for a few months now and I've noticed few, if any, issues. It should be possible.
What OS and video card do you use? You may want to check to make sure that you're using up-to-date drivers. It sounds like you may be defaulting to old 1.1 libraries (such as MESA on Linux, or a default 1.1 Windows DLL).