Future cellular systems will employ the so-called big three technologies: UDN, massive MIMO, and mmWave (and/or terahertz) communications. The goal is to support the explosive demands for mobile broadband services foreseen for the next decade. In this work, we investigate the joint impact of the three technologies. Using system-level simulations, we evaluate the performance of two-tier cellular networks with μ Wave macrocells and densely deployed mmWave small cells. Our results show that much higher capacity can be realized with UDNs than in macrocell-only setups. The results also reveal that performance does not scale proportionally with increase in the employed mmWave bandwidth. The corresponding increase in noise (due to larger bandwidths) reduces the SINR. Outdoor users experience promising data rates notwithstanding, but the throughputs of indoor users are highly degraded. This is due to the additional wall and indoor losses (on top of the inherently high path loss at mmWave frequencies), which further reduce the SINR of indoor users. Therefore, techniques that significantly enhance the SINR are highly import ant design considerations in unleashing the amazing prospects and potentials of mmWave UDNs.