But despite the stunning assertion, Weld County District Attorney Michael Rourke made it clear he didn't believe Chris Watts: About 90 minutes before the document was made public, he charged the man with nine felony counts alleging that he was the one who killed his wife of almost six years, Shanann Watts, 34, and their two daughters, Bella, 4, and Celeste, 3.
Hours after Chris Watts made a public plea for his missing wife and daughters to return home, police arrested the 33-year-old Colorado man for allegedly murdering all three of them.
Watts faces nine felony charges, including three first-degree murder charges, two counts of murdering a child, one count of unlawful termination of a pregnancy and three counts of tampering with a deceased human body.
Mr Watts is due in court on Tuesday to be arraigned.
Court documents obtained by FOX31 and Channel 2 on Monday said that Watts' attorneys will ask for a bond modification hearing as well as a preliminary hearing.
A warrantless arrest affidavit issued August 15 states Watts was actively involved in a relationship with a coworker outside of his marriage with Shanann, which investigators said he initially denied.
According to the affidavit, investigators discovered that Mr Watts was having an affair with a work colleague, which he had denied to police.
Shanann Watts, 34, and her two daughters ages 3 and 4 were reported missing. It says Watts initially told police that his conversation with Shanann about a separation was civil but emotional.
"It wasn't like her not to answer a phone call or text and when her friend Nicole showed up at the door, I was like "Something's up". Watts was taken into custody late that day by the Frederick Police Department.
In an interview Tuesday - after his family disappeared but before his arrest - Chris Watts said his wife got home from a business trip about 2 a.m. Monday.
"Chris said he went into a rage and ultimately strangled Shannan to death", James wrote. The rest was earned by Shanann Watts, who worked in 2014 at Children's Hospital Colorado.
Watts then admitted to loading their bodies into the back of his ute before driving them to an oil work site he used to be employed at. The judge denied that request, saying he would not tell the coroner how to do his job.
But according to local media, the couple had financial troubles, including a 2015 bankruptcy filing, and Mrs Watts had suspected her husband was cheating.
A court filing by prosecutors says Shanann Watts' body was "recovered from a shallow grave near an oil tank", and that "law enforcement recovered the bodies of defendant's two daughters from inside oil tanks located near the grave of their mother".
He told reporters: "I'm just hoping right now that she's somewhere safe".
"I just want them to come back", Watts told Denver 7.
Shanann Watt had been 15 weeks pregnant when she was killed. Later that day, investigators found the bodies of the girls "have been in an oil well filled with crude oil for several days", according to a defense motion to require DNA testing on the necks of the two girls - language that suggested they had been strangled.