The story is retold to the player by Margaret, and takes place roughly a month after the epilogue of Persona 4 Golden. Since then, Rise Kujikawa has returned to the world of entertainment, and is teaching her friends from Inaba how to dance so they can act as her backup dancers in a live performance at the Love Meets Bonds Festival. Yu Narukami, now living in the city, meets up with Rise and Naoto Shirogane to practice, but they are informed by festival producer Kyoka Uchimizu that Rise's friends will no longer be performing and that Rise will instead be singing alongside her junior idol Kanami Mashita.
Source: Wikipedia, "Persona 4: Dancing All Night", available under the CC-BY-SA License.