We introduce the first passage set (FPS) of constant level $-a$ of the two-dimensional continuum Gaussian free field (GFF) on finitely connected domains. Informally, it is the set of points in the domain that can be connected to the boundary by a path on which the GFF does not go below $-a$. It is, thus, the two-dimensional analogue of the first hitting time of $-a$ by a one-dimensional Brownian motion. We provide an axiomatic characterization of the FPS, a continuum construction using level lines, and study its properties: it is a fractal set of zero Lebesgue measure and Minkowski dimension 2 that is coupled with the GFF $Φ$ as a local set $A$ so that $Φ+a$ restricted to $A$ is a positive measure. One of the highlights of this paper is identifying this measure as a Minkowski content measure in the non-integer gauge $r \mapsto \vert\log(r)\vert^{1/2}r^{2}$, by using Gaussian multiplicative chaos theory.