The opening scene of "So Close" takes us right into the control room of a big software company. They are under attack from an evil computer virus, but just before the entire mainframe is invaded, a friendly hacker called "The Computer Angel" comes to the rescue and destroys the virus.
Next day a woman, Lynn (Shu Qi), arrives at the company and claims to have an appointment with the president Chow Lui. When she meets him, she reveals that she is in fact The Computer Angel, but that she's also responsible for the virus. The attack was a cover to gain access to Chow Lui, she's an assassin, and she's been hired to kill him. Chow quickly activates his security shield, but he's too late. And while he's killed by a deadly gas, Lynn disables all the bodyguards in an acrobatic display of action and style. Meanwhile her younger sister Sue (Zhao Wei), is watching her from their house, on a gigantic panel of TV screens. She oversees the entire mission and guides Lynn via a headset. Lynn escapes from the building to the sound of "Close to You" by The Carpenters.
While Sue visits their parents graves, Lynn pics up a cake from the local baker. Here she runs into her ex-boyfriend Yen (Seoung-Heon Song). He's in town for just one day, and he says that if Lynn wants to get together she has to catch him at the airport before he leaves.
The police arrive at Chows office to investigate his murder. On the investigation team is detective Kong Yar-hung (Karen Mok) - just returned from training in USA - and her inexperienced partner Ma Siu-ma. Before she left the office, Lynn planted a hidden camera in the ceiling of Chows' office. The two sisters watch Kong begin her investigation, and they suspect she will be more trouble than the other cops they have encountered.
Later when Lynn is soaking away in a bathtub, she remembers when she met her best friend's cousin Yen, and fell in love with him. She is interrupted by Sue, who complains that she's never allowed to handle cases on her own, but Lynn says it's because she's emotional and reckless.
Meanwhile Kong decides to pursue a new line of investigation. She and her partner manage to break into Chows office to look for clues, but they are interrupted by Chow's younger brother Chow Nunn, who has taken control of the company. After the police leave we learn that Chow was the one that put the contract out on his older brother, and that the contract included yet another member of his staff.
Lynn and Yen continue their love affair. But the Computer Angel still has one more kill to do before the contract is complete. But when Yen asks Lynn to marry him, she decides that enough is enough, and she wants to get out of the business altogether. She asks Sue to cancel the contract, but Sue is convinced she can handle the kill herself, and plans to do so, without Lynn's knowledge. Lynn is on a date with Yen, but when she fails to reach Sue on the phone, she suspects that Sue has gone do to the last job by herself, and she leaves in a hurry.
The police stake out a bar while they follow the last possible target from Chow's organisation, but Kong suddenly realises that the best place to shoot is from the disco across the street. Sue has positioned herself in this very disco, with a high powered riffle, and she's ready to make the kill. Lynn arrives moments before Sue is about to pull the trigger and finishes the job herself. A second later Kong bursts through the door, but the sisters are already gone. They make their escape to the elevators, but just before the doors close, Kong and her partner catches up with them and manage to get into the elevator. As the doors close, the tension in the small compartment is thick enough to touch. Who will make the first move? Will the sisters be able to escape once again, or have they finally run out of luck? Meanwhile Chow's men take position in the nearby basement. They plan to take out the sisters, and tie up all the loose ends...