Yui's heart gets stolen by a famous demon collector from the Demon World. Her heart is replaced with a magic crystal. The magic crystal's effect will gradually wear off which would put Yui's life in danger. The vampires (Sakamaki, Mukami and Tsukinami) go to the Demon World in order to retrieve her heart, but at the same time, a parade takes place.

[from Diabolik Lovers Wikia]