The Denver Channel was reporting that two law enforcement officials said Christopher Watts, 34, had confessed to killing Shanann Watts and their two daughters, and that officials believe they know where the bodies are.
The police said on Twitter early Thursday that Chris Watts will be held at the Weld County Jail. He has not yet been charged. It wasn't immediately known if he had a lawyer.
Police have not released any information about when, where or how Shanann Watts and her daughters were killed.
Shanann and her children were reported missing on Monday after a family friend noticed she hadn't heard from her, according to police in Frederick, about 35 miles north of Denver.
Chris Watts spoke previously with The Denver Channel and pleaded for his family's safe return. In that interview, he said his wife’s purse, keys and phone were all left at home before she went missing.
“When I came home and then walked in the house, nothing. Vanished. Nothing was here. My kids are my life. I mean, those smiles light up my life,” he said in the interview, prior to his arrest.
Chris Watts gave interviews to local and national news stations about his wife’s disappearance on Tuesday and Wednesday, asking for his wife to return home with their daughters and saying that if anyone had taken or harmed them, they should come forward.
The FBI and Colorado Bureau of Investigation are also investigating.
Shanann Watts was 15 weeks pregnant and was scheduled to find out the gender of her and her husband's third child in a couple of weeks. She was from Moore County, just outside Fayetteville, and attended Pinecrest High School in Southern Pines. Her family still lives in North Carolina.
Chris Lee Watts was born and raised in North Carolina, according to public records. He lived there when he met his wife and they moved to Colorado in 2013.
According to sources, Shanann Watts returned home early Monday morning from a work trip in Arizona. Her husband told police he came home and his wife and their two children were gone.
"Shanann has a schedule and she goes by that schedule and she does not deviate," high school friend Lauren Arnold told WTVD. Arnold said she moved to Colorado around the same time as Watts.
"The girls are on a schedule," she said. "She has things that she does every day. A dead cell phone is not an option for her. She always has her communication with her."
Chris Watts told ABC affiliate KMGH in Denver that he and Shanann had an "emotional conversation" prior to her disappearance and would not elaborate further.
"There's so many questions that have not been answered. So many what-ifs and things like that. It's really frustrating," Arnold added.
A news conference to provide more information is scheduled for 10:30 a.m. local time
The Associated Press contributed to this report,