At the end of Persona 4 Arena's story, an unnamed malevolent entity makes its presence known to the gathered Persona users by taking control of Labrys and attacking them through her. If the player is playing as either Naoto or any of the former S.E.E.S. members, it will appear in the guise of the respective character's imitation Shadow. It will also attack the others by controlling Labrys as a puppet until the connection is severed by Fuuka Yamagishi.
Though its identity is unknown, it makes itself clear in that it was the instigator behind the game's events. It orchestrated the plot to steal away Labrys, gave her cause to think of Yasogami High School and the members of the Investigation Team, and then pushed her into the TV world. It then used its own powers to amplify those of Shadow Labrys, allowing the sensory distortion effect to spread across a wider range of territory than normal, and with greater strength than should have been possible. The entity's goal was to pit the Persona users against one another and plant seeds of doubt in their hearts that would cause their Personas to once again become Shadows, and to then take those Shadows for its own purposes. While its scheme is foiled and it departs, it is clear that its plans are far from over, and that it will reemerge again.
Of what little else is known, the entity is not apparently human, but is working in cooperation with one that it deems "foolish" until the "perfect vessel" can be found. (This human may be the "Eerie Voice" that takes control of Labrys during this same point in the story if playing as one of the other Investigation Team characters.) The entity also has a vast amount of knowledge regarding the exploits of both the Investigation Team's actions during Persona 4 and the members of S.E.E.S. in Persona 3. When confronting Mitsuru, Aigis, and Akihiko specifically in their respective storylines, it makes reference to them having already once defeated a god; the battle to stop Nyx and prevent the Fall.