The story takes place in an imaginary world in "the Age of Detectives", where private detectives and phantom thieves overwhelm the cities. It is about four girls who aim to be great detectives.

Sherlock, Nero, Hercules and Cordelia have, in the past, solved many cases with the aid of their "Toyz", a form of psychic power, and are now famous in the Holmes' Detective Academy. In addition to their fellow students, they are also held in high regard by the citizens of Yokohama, who have nicknamed the quartet Milky Holmes.

However, one stormy night, the four girls lose their Toyz whilst engaged in battle against their nemesis, the Phantom Empire...