Heavy tails are a last resort
For a given problem, statistics offers a range of models or techniques ranging from the simple to the very complex. Entire disciplines of science have been pioneered using the workhorse of ANOVA and linear regression, with more sophisticated techniques being developed later as refinements. The granularity of the method is only one factor among others including data availability, ease of communication, and robustness.
A fundamental example of this relationship between granularity and variability is the case of a mixture model. Consider observations yᵢ generated by a two-stage process: suppose there is a latent parameter σ which determines the variability of the observations. Suppose that if σ were known, then, yᵢ is drawn conditionally on σ as a N(0, σ²) value.
The latent variation of σ induces excess variability in the yᵢ over several repetitions, beyond what might be expected from a Gaussian distribution with fixed variance, and will manifest as heavy-tailed behaviour when the distribution of σ is appropriately chosen. For example, if each σ is independently Gamma distributed, then the marginal distribution of yᵢ becomes the Student t distribution, which is heavy-tailed for low degrees of freedom.
The only way to achieve good fit of the yᵢ would then be to investigate further if there are other factors which are responsible for the variation in σ. If these are correctly identified in a model, then it would be possible to obtain a prediction for σ and subsequently for the yᵢ, without using heavy-tailed distributions at any stage.
A recent paper by Yi He and John Einmahl argues that heterogeneity explains at least some cases of apparent heavy-tailedness (for example, in stock returns) and that accounting for the heterogeneity allows more precise estimation extreme value behaviour. This means that even if you choose to go with a heavy-tail / extreme value model, you can leverage heterogeneity to improve inference.
John H.J. Einmahl, Yi He. Extreme Value Inference for Heterogeneous Power Law Data (2023)