  Multi-wavelength campaigns have been carried out to study the correlation
between the very high energy (VHE) $\gamma$-ray and the X-ray emissions in
blazars but, no conclusive results have been achieved yet. In this paper, we
add Milagro data to the existing VHE $\gamma$-ray data from HEGRA-CT1 and
Whipple and test the consistency and robustness of the reported correlation
between VHE $\gamma$-ray and X-ray fluxes in Mrk 421. We found that at monthly
time scale the correlation is robust, consistent between instruments and
described as a linear function. Furthermore, most of the fluxes on shorter time
scales are consistent with the correlation within 3 $\sigma_A$ even, where
$\sigma_A$ is an estimated intrinsic scatter. However, a break-down of the
correlation becomes clearly evident at high states of activity with fluxes $\rm
\gtrsim 2.5\times 10^{-10}\, cm^{-2}s^{-1}$ at energies above 400 GeV
independently of the time scale, observational period or instrument, even for
single flares, the X-ray and VHE $\gamma$-ray emissions lie on the correlation
until the VHE $\gamma$-ray flux reaches values higher than the one mentioned
above. We have interpreted our results within the one-zone synchrotron
self-Compton model. We found that describing a single and unique
$\gamma$-ray/X-ray correlation strongly narrows the range of possible values of
the magnetic field $B$ when a constant value of the spectral index along the
correlation is assumed.
