Thought Entities are the manifestations of strong emotions left behind by the departed. Thought Entities take on many malicious forms and are first the primary enemies introduced in Fragile Dreams: Farewell Ruins of the Moon.
If the player loses all Hit Points (i.e. dies), a short scenes plays showing a jellyfish floating in blackness. This can possibly show that Seto's emotions manifest as one of the Jellyfish thought entities in death.