In this paper, a novel mean-field game framework is proposed for uplink power control in an ultra-dense millimeter wave network. The proposed mean-field game considers the time evolution of the mobile users' orientations as well as the energy available in their batteries, under adaptive user association. The objective of each mobile user is then to find the optimal transmission power that maximizes its energy efficiency. The expression of the energy efficiency is analytically derived for the realistic case of a finite size network. Simulation results show that the proposed approach yields gains of up to 24%, in terms of energy efficiency, compared to a baseline in which the nodes transmit according to the path loss compensating power control policy.