I think it was a movie or something but definitively not several episodes.
There was a girl and she owned/had a rat with her(I think it was a rat) that could transform into her cloths, weapon, etc and also talk.
I don't remember specific date it was around 2000~2005 I think.
She was running away from some incident that happened(pretty vague here), it was something related to fire maybe and she was involved with pretty shaddy activities.
The anime was situated on a city and the period was a recent era or perhaps slight into the future, not sure how to describe but not feudal or old like that, similar to a normal city of todays.
I can't remember anything else, but if I do, I post.