Suppose we are given a sequence of n points in the Euclidean plane, and our objective is to construct, on-line, a connected graph that connects all of them, trying to minimize the total sum of lengths of its edges. The points appear one at a time, and at each step the on-line algorithm must construct a connected graph that contains all current points by connecting the new point to the previously constructed graph. This can be done by joining the new point (not necessarily by a straight line) to any point of the previous graph (not necessarily one of the given points). The performance of our algorithm is measured by its competitive ratio: the supremum, over all sequences of points, of the ratio between the total length of the graph constructed by our algorithm and the total length of the best Steiner tree that connects all the points. There are known on-line algorithms whose competitive ratio is O(log n) even for all metric spaces, but the only lower bound known is of [IW] for some contrived discrete metric space. Moreover, for the plane, on-line algorithms could have been more powerful and achieve a better competitive ratio, and no nontrivial lower bounds for the best possible competitive ratio were known. Here we prove an almost tight lower bound of Ω(log n/log log n) for the competitive ratio of any on-line algorithm. The lower bound holds for deterministic algorithms as well as for randomized ones, and obviously holds in any Euclidean space of dimension greater than 2 as well.