When fighting The Fear, before you beat him, let him hit you a few times with his crossbow. The bolts will stay in your body, and you are supposed to remove them through the Cure menu. If you beat him, you will automatically be healed fully, but the bolts will still be stuck in you for the rest of the game. If you go to your Cure menu, you will see them sticking out of you, but you can't remove them. They are visible with any camo you wear, but not visible during cutscenes.