RATIONALE: Sorafenib may stop the growth of cancer cells by blocking some of the enzymes needed for cell growth. Lenalidomide may stimulate the immune system in different ways and stop cancer cells from growing. Drugs used in chemotherapy, such as dexamethasone, work in different ways to stop the growth of cancer cells, either by killing the cells or by stopping them from dividing. Sorafenib and lenalidomide may also stop the growth of cancer cells by blocking blood flow to the cancer. Giving sorafenib together with lenalidomide and dexamethasone may kill more cancer cells.