Investigators found what they believe are the bodies of 4-year-old Bella and 3-year-old Celeste nearby on Thursday afternoon.
Wednesday night, Chris was arrested on suspicion of three counts of murder, and three counts of tampering with deceased bodies. Later that afternoon, around 12:15 p.m., Watts says that after receiving no response to repeated text messages and phone calls, Shanann's friend Nicole, who had also not been receiving responses from her, showed up at the Watts' home.
In an interview with Today, Watts said he had last seen his wife early Monday morning, when she was arriving home from a business trip and he was headed to work. There are four white candles paired with four small bouquets of red roses - one set each for Shanann Watts, Celeste, Bella and the unborn baby.
Police were cagey on what led them to the discovery of the bodies, or even when the mom and two girls were killed, but said they do not believe there is a danger to the community.
Police in Colorado are holding a man who is suspected of killing his wife, both of whom have North Carolina ties and married in Mecklenburg County in 2012, and two young daughters.
In response to comments on the post, Shanann said that it was a "3 foot doll" that had been wrapped in "their twister tarp thing".
CNN affiliate KMGH aired video showing Chris Watts' pickup truck being towed from the family's home overnight, as well as investigators removing items from the house in garbage bags. Chris Watts was an employee with the oil and gas company. "They oughta just tear down the house".
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Frankie Rzucek, who is identified on Shanann Watts' Facebook page as being her brother, posted overnight on his page saying he just wanted to know why. "That's what I want".
"This is absolutely the worst possible outcome that any of us could imagine, and I think our hearts are broken for the town of Frederick as much as anybody", Camper said. She's more like me.
He also said that they "can't get into why he did this".
The FBI and Colorado Bureau of Investigation both joined the search for Watts and her daughters on Wednesday. When no one answered, he became anxious, he said on "Today".
After several days of publicly protesting that he had not seen his wife or daughters after leaving for work on Monday, Watts broke down and confessed to the murders on Wednesday, police said.
On Tuesday, Watts spoke with reporters pleading for his family's safe return home.
Shanann Watts' Facebook account paints a portrait of a happy family, with a constant feed of photos and videos of her family, friends and herself.