Dave Holden only appears in the very first scene of the movie. He's a blade runner administering the Voight-Kampff test to Leon—but when Leon seems to be failing the test—thereby revealing that he's a replicant—he tries to shoot and kill Holden.
Apparently, Holden was only injured, as he appears in a few deleted scenes, included on a more recent DVD release of the movie. In these scenes, the injured Holden chats with Deckard, and explains that the replicants are looking for the man they consider to be their personal equivalent of God—Dr. Tyrell (source).