There is a film about a creature that perfectly fits the description of a demon—goat-like, shaggy, and, most importantly, immortal. By sheer chance, a group of researchers discovers him in the far north, captures him, and brings him to civilization. The military quickly becomes interested and starts experimenting on him, trying to uncover the secret of his immortality.
The demon himself has only vague memories of who he is, where he came from, who created him, and why he exists. He ‘remembers’ that he has always lived (since, being immortal, he does not age), that he was once worshipped by the Aleuts or a similar people, and that he accepted their sacrifices before retreating back to his icy home. He wasn’t even inherently evil - he had a poor understanding of the difference between good and evil.
While he is held at a military base, a young woman inexplicably falls in love with him. However, he does not reciprocate, as love is something entirely foreign to him. She ultimately decides to free him, resulting in him (presumably) killing half the base, while she herself perishes.
In the final scene, the demon sorrowfully returns to the north, back to the Aleuts.