The main character, Don Johnston (Bill Murray), is a former Don Juan who wants to live in quiet retirement, having made a small fortune in the computer industry. He is content to lounge around watching old movies and listening to classical music. His current girlfriend, Sherry (Julie Delpy), is ending their relationship and moving out of his house when a letter in a pink envelope arrives. After she walks out, he reads the letter; it purports to be from an unnamed former girlfriend, informing him that he has a 19-year-old son who may be looking for him. Initially Don doesn't intend to do anything about it, but his busybody neighbor Winston (Jeffrey Wright), who is a mystery novel enthusiast, urges Don to investigate. Winston researches the current locations of the five women most likely to have written the letter, gives Don the information (along with maps, MapQuest print-outs, and air flight reservations), urges him to visit them, and tells Don that he will drive him to the airport the next morning.
Ultimately he meets with four women, each encounter worse than the last:
Laura (Sharon Stone) works as a closet and drawer organizer and is the widow of a race car driver. She has a teenage daughter, Lolita (Alexis Dziena), who flirts outrageously with Don. That night, Laura sleeps with Don. Dora (Frances Conroy) is a realtor. Once a "flower child" of the 1960s, she is deeply melancholic, resigned to being miserable in her marriage to Ron (Christopher McDonald). Carmen (Jessica Lange) works as an "animal communicator." Don recalls how she was formerly so passionate about becoming a lawyer. But "passion is a funny thing," she says. She is cold to Don. Penny (Tilda Swinton) lives in a rural area amongst bikers. She holds a grudge against Don for some reason. When Don asks her whether she has a son, she becomes enraged, which results in one of her biker friends punching Don out. He comes to the next morning in his car, in the middle of a field, with a nasty cut near his left eye.
Don then stops at a florist to buy flowers from a friendly and attractive young woman named Sun Green (Pell James) who bandages his cut. He leaves the flowers at the grave of the fifth woman, Michelle Pepe, who Don originally thought might be the mother before finding out she had died five years prior. (Earlier Don told Winston he had loved Michelle his only mention of love throughout the film.) As he kneels at her gravestone he softly says "Hello, beautiful."
Disillusioned, Don returns home where he meets a young man in the street (Mark Webber) whom he suspects may be his son. He buys him a meal, but when he remarks that the young man believes that Don is his father, the young man becomes agitated and flees.
As Don looks on, he notices a Volkswagen Beetle drive past. A young man in the passenger seat played by Homer Murray, the real-life son of Bill Murray is listening to the music which Don himself has been listening to throughout the movie. Both the young man Don buys lunch for and the one in the car are wearing track suits like Don's. The young man in the car holds unblinking eye contact with Don while the car drives on and away. Don is left standing in the middle of the road.
In the end, none of the mysteries posed by the film are resolved. Don ends his journey no closer to discovering which of the women wrote the letter, and there's even a suggestion that Sherry sent the letter to cause Don an existential crisis. It's unclear whether the young man in the Volkswagen is Don's son, or if Don has reached a point where he'll wonder whether every boy he sees might be his son. The last moment has the camera spinning around Don's head (a full 360 rotation) with a blank expression on his face.