We present a formulation of the explicitly correlated second-order Møller-Plesset (MP2-F12) energy in which all nontrivial post-mean-field steps are formulated with linear computational complexity in system size. The two key ideas are the use of pair-natural orbitals for compact representation of wave function amplitudes and the use of domain approximation to impose the block sparsity. This development utilizes the concepts for sparse representation of tensors described in the context of the domain based local pair-natural orbital-MP2 (DLPNO-MP2) method by us recently [Pinski et al., J. Chem. Phys. 143, 034108 (2015)]. Novel developments reported here include the use of domains not only for the projected atomic orbitals, but also for the complementary auxiliary basis set (CABS) used to approximate the three- and four-electron integrals of the F12 theory, and a simplification of the standard B intermediate of the F12 theory that avoids computation of four-index two-electron integrals that involve two CABS indices. For quasi-1-dimensional systems (n-alkanes), the ON DLPNO-MP2-F12 method becomes less expensive than the conventional ON(5) MP2-F12 for n between 10 and 15, for double- and triple-zeta basis sets; for the largest alkane, C200H402, in def2-TZVP basis, the observed computational complexity is N(∼1.6), largely due to the cubic cost of computing the mean-field operators. The method reproduces the canonical MP2-F12 energy with high precision: 99.9% of the canonical correlation energy is recovered with the default truncation parameters. Although its cost is significantly higher than that of DLPNO-MP2 method, the cost increase is compensated by the great reduction of the basis set error due to explicit correlation.