Set in a futuristic world, there exist "Toys" which grant people superhuman abilities. This is responsible for a wave of crimes and necessitates employing Toy-using detectives to help solve them. Opera Kobayashi runs a detective agency, Milky Holmes, staffed by four aspiring young girl detectives who attend the Holmes Detective Academy, and each girl possesses their own unique Toy.

After some pushing by Irene and her father and a lack of support otherwise, Kokoro stubbornly quits her job as a police detective to become an idol. She soon finds the idol life draining and starts to miss her old detective life. When Henriette notices Sherlock's loneliness without her, she stages a statue theft in order to convince Kokoro to return to the force.

The four members of Milky Holmes are going on a study tour. While soaking in the hot springs among snow monkeys, alarms interrupt the relaxing environment! It was the work of the Thief Empire. A fierce battle between Milky Holmes and the Thief Empire begins, with both sides using their Toys (special powers). Furthermore, with the arrival of the Genius 4, a three-way fight occurs! In the midst of battle, a violent lightning strikes from the sky. Struck by the lightning, the four Milky Holmes girls lose their abilities.