Among the things that puzzled investigators is that Shanann Watts' purse and medications for the children were found at her house.
Law enforcement officials say they believe they know where they can find the bodies. The CBI issued a missing-endangered alert for the three on Tuesday.
"I just want 30 seconds alone with that heartless psychopath. This is completely unlike her", the friend said.
FREDERICK, Colo. (AP) - Authorities say the husband of a missing family in Colorado has been arrested in connection with the case.
Watts was interviewed by Denver7 on Tuesday about the disappearance of his wife and daughters.
The mother was 15 weeks pregnant.
He said he knew her parents well and had known Shanann since she was a teenager. Police have not released any details about a possible motive or when, where and how Shanann and her daughters were killed.
Weld County District Attorney Michael Rourke told the same news conference that his office had until Monday to file formal charges against Watts.
Chris said his wife informed him she was planning to go with their girls' to a friend's house.
Investigators have located a body they believe is Shanann Watts, said Colorado Bureau of Investigation director John Camper.
"It is with deep hurt, confusion and anger to confirm our lovely cousin Shanann Watts, her unborn child, and her two angelic daughters, Bella (4), Celeste (3) were viciously murdered by husband Chris Watts; who confessed to the killings", they said in a statement to KCNC.
The Frederick Police Department posted on Twitter, "On August 13, 2018, the Frederick Police Department was notified of 3 missing persons".
He added, "I just want to know why. I talked her a couple times", he said in a phone interview. But he supposedly grew concerned when he sent her texts throughout the day and she didn't reply.
"If somebody has her, just bring her back".
He was charged with three counts of first-degree murder and three counts of tampering with evidence. "It was very vague", he told reporters. His confession came a day after authorities launched an investigation into their mysterious disappearance, reports said.