Set in the same universe as the PSP games, Milky Holmes arrive in London where they meet a girl called Lily Adler, who seeks the help of their old mentor, Opera Kobayashi, to search for a painting of her grandmother that was stolen from her home. Taking on the case, the gang learn there have been several other related robberies in which paintings were stolen. As they interview the victims, they start to piece together how the paintings are related. They soon encounter another victim who was robbed, who believes the culprit to be an invisible man...