Milky Holmes have been neglecting their roles as detectives to tend to a vegetable farm they have been working on, which irritates Henriette who wants them to work on regaining their Toys. Noticing Henriette's depression, the Gentlemen Thieves take it upon themselves to get revenge on Milky Holmes by wrecking their vegetable farm, though this ends up evoking a murderous rage within them. After Milky Holmes are reminded about their roles as detectives, the matter is settled following a few explosions and Henriette's order to destroy the farm.

As Milky Holmes laments the loss of their farm, Hercule notices their Toys have returned, with the others oblivious to the fact. Hercule is later given a strange painting from her part-time job, which peaks the interest of a wealthy man as it reminds him of his long lost wife, offering a large sum which Nero accepts. However, a wind blows it away, leading to a rampant chase throughout town, with everyone besides Hercule oblivious of their use of Toys. The soon find the painting underneath a beached whale, which Hercule manages to lift off using her Toys, launching it into a pirate ship that held the man's long lost wife hostage. After eating some sushi, which Hercule forces Nero to use her money to pay for, the girls return home to learn from Henriette that the Holmes Detective Academy may be shutting down, the shock of which causes them to lose their Toys again. Hercule reminds the others of their duties as detectives and together they start thinking of a way to save the academy.

Milky Holmes decide to go explore the Hakkei Prison Island to find a way to save the academy, but they are captured and imprisoned on arrival. Meanwhile, Henriette and the Gentlemen Thieves have also infiltrated the island in search of a legendary treasure. After hearing about the treasure from an old man, Henriette, along with Milky Holmes, stage a breakout, but end up falling into traps by the prison guard. However, they manage to find their way out and soon find the treasure is a single flower which, when removed, reduces the prison into a pile of sea cucumbers, only to later realise they had set a bunch of criminals into the city.

As Milky Holmes have trouble sleeping together, they unconcsciously activate their Toys to interfere with each other's dreams.

As reports come in of a flasher in the city, Milky Holmes encounters a girl named Coron from Osaka, who gets them to help her investigate the culprit. The girls come to suspect the Gentlemen Thieves and confront them with an odd method that ultimately fails, whilst Stone River comes at Hercule, suspecting her to be the flasher. Finding herself in a strange part of town, Hercule is targeted by a flasher but manages to knock her out, revealing her to be Coron, whose real name is Pō. Wanting to experience the freedom of being naked, the others decide to take her to a bathhouse, whilst G4 capture the true culprit.

As Milky Holmes encounter G4, who are searching on the Enoden Express train for a terrorist planning to bomb a statue, they decide to help look for the culprit after Kokoro is mysteriously knocked out. After a series of bizarre events, they discover the culprit is the conductor who is a fan of Kokoro and wanted to meet her. As the mystery behind Kokoro being knocked out is solved, Milky Holmes takes pride in their achievement until they accidentally blow up the statue themselves.

As Henriette's patience with Milky Holmes finally snaps, she leaks to the news that Arsene is planning to destroy Holmes Detective Agency. Later that night as everyone is gathered outside, Arsene appears, using her illusion Toys to make everyone fight each other. As she announces her plans to leave Yokohama, the Gentleman Thieves fight against her to stop her, but to no avail. She defeats the thieves and proceeds to destroy the academy, leaving Milky Holmes and everyone else behind.

After spending the night searching for Henriette, the girls discover that the Academy is being shut down and all its residents being transferred elsewhere except for Milky Holmes. As both Milky Holmes and the Gentleman Thieves start to lose their grip on reality from missing Henriette, Cordelia unleashes a strange power that traps everyone in an illusion. Kamaboko manages to get Stone River out of the illusion, who in turn gets help from Hercule to rescue everyone else. As the Gentlemen Thieves part ways, Milky Holmes decides to start up a new Holmes Detective Academy.

Annoyed that the other G4 members are having a day off whilst she herself is stuck with paperwork, Kokoro enlists the help of Milky Holmes to annoy them. When they soon figure out her plan, she instead has Milky Holmes pose as the Gentlemen Thieves to steal a case from a group of policemen and lure G4 into action. As G4 discover the policemen are actually thieves, Milky Holmes discover a captured singer inside the case and are praised for her rescue. Meanwhile, Mori steals an interesting artifact.

Mori tells Milky Holmes they may be able to regain their Toys by finding an artifact called Pandora's Pot underneath the ruins of Holmes Detective Academy. However, what they actually unleash are all the evil Toys that Sherlock Holmes had sealed away long ago. As Mori makes off with one of the Toys, the rest are absorbed by the lard obsessed Buta, who vows revenge against Milky Holmes from keeping him from his lard. Gaining incredibly power from the Toys, Buta starts to steal all the lard and fat in Yokohama, causing everyone to become all dried up and full of static electricity. G4 and the Gentlemen Thieves stand against Buta, but he uses a powerful Toys that turns everyone into no-good idiots. However, Milky Holmes are unaffected, since they are already idiots, so Buta uses all his lard to transform into a new form.

Wanting to create a world made entirely of lard, Buta attempts to steal the Legendary Lard, but Milky Holmes stands in his way. Meanwhile, Arséne, who is in London, encounters Sonia, who attempts to convince her that Milky Holmes haven't lost their way. As Buta manages to retrieve the Legendary Lard and starts absorbing lard from across the globe, Milky Holmes stand up to them and regain their Toys and work together to fight against Buta. Undeterred, Buta fuses himself with the lard he has amassed to evolve into a new form, but Arséne manages to get herself across the globe to stop him, allowing Milky Holmes to use Arsene Lupin's straw to defeat Buta and return the lard to its rightful place. As snow falls over Yokohama, Arséne reunites with the Gentlemen Thieves.

Wanting to get Milky Holmes back into action now that they've recovered their Toys, Henriette tries to make a memorable reunion with the girls but keeps failing. Meanwhile, the girls decide to enter a mascot contest for the Detective Fair, prompting Henriette to enter in secret. Both Sherlock and Henriette make it to the final round, in which they must dance together. Henriette wins the contest and reveals herself to the others, only for a boob-related mishap to cause Milky Holmes to lose their Toys yet again. Nethertheless, Henriette helps to start up the Holmes Detective Academy from scratch.