During the interview, Watts smiled and laughed and appeared to struggle while talking about them being missing.
Weld County District Attorney Michael Rourke said the case has been formally referred to his office for determination on filing of formal charges.
Christopher Watts, 33, could face three charges of murder and three charges of tampering with evidence.
After Chris Watts' pregnant wife and two young daughters were reported missing in their Colorado town Monday, his friends, Nick and Amanda Thayer, rushed to his side.
Authorities say they have found the body of Shanann Watts and believe they know the location of the girls' bodies and are working to recover them.
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Investigators have not yet detailed what Chris Watts reportedly confessed to them. The CBI issued a missing-endangered alert for the three on Tuesday.
"I walked in the house and - nothing", he said.
On Wednesday, the Federal Bureau of Investigation joined the search.
The tragic case of Shanann has gripped the nation ever since she went missing on August 13, after returning from a business trip.
Authorities did not comment on a possible motive or confirm whether Christopher Watts had confessed to the murders. "Bella, she's the more calm, cautious, mothering type, and she's more like me - she's more calm".
Watts told Today he became concerned around noon on Monday when, using a doorbell camera, he spied a friend knocking on the door to no answer from within the house.
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Police said on Twitter early Thursday that Chris Watts will be held at the Weld County Jail.
"I hope that she's somewhere safe right now and with the kids", he told the station. "I miss telling them, 'Hey, you gotta eat that or you're not gonna get your dessert'".
Police are expected to release more information during a news conference scheduled for 10:30 a.m. Colorado time.
Police say they arrested her husband, Chris Watts, on Wednesday. She said she was going to a friend's house with the kids and that's the last thing I heard, and that was it. "Her husband Chris Watts", Rzucek said in the post. "If someone has them and they are not safe, I want them back right now...."
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