The film is about a man named Masuoka, played by Shinya Tsukamoto, who carries a camera everywhere he goes. One day he becomes obsessed with the idea of fear when he sees a frightened man shove a knife in his eye to commit suicide. Wishing to understand the fear that the dead man must have felt before his death, Masuoka descends into a labyrinthine underground area beneath the city. After hours of searching the series of tunnels and passages, Masuoka discovers a naked girl (played by Tomomi Miyashita) chained to the wall. He takes her back to his apartment and notices she doesn't eat, drink, or speak. The girl, whom Masuoka dubs 'F', appears to be something other than human, and Masuoka becomes obsessed with understanding her. However, the more he learns about her and the underground world, the further his world seems to fall apart.
Masuoka inadvertently discovers that F survives only on blood. At first he is able to care for her by providing animal carcasses, but eventually he begins to kill other people to collect the blood necessary to feed her. At the end of the film F leads Masuoka back down into the underworld, and it appears that he has finally discovered the same fear that initially intrigued him.
At different points in the film, different explanations are given for what is happening to Masuoka. Early conversations in the film seem to suggest that the underground tunnels and F herself may be a physical manifestation of human ideas. The film repeatedly references dangerous creatures called the Dero who live underground, named after the "detrimental robots" in Richard Sharpe Shaver's A Warning to Future Man. At a later point in the film, it is suggested that Masuoka is insane and delusional, perhaps because he has stopped taking Prozac, and that his delusions have led him to kill innocent people and treat his daughter like an animal. The end of the film offers no concrete explanation.