He is scheduled to appear in court later Thursday for a bond hearing, authorities said.
Watts, 33, has not been formally charged.
The husband of a Colorado mother missing with her two young daughters has been arrested after reportedly confessing to killing his pregnant wife and children.
No formal charges have yet been filed in the case, but Mr Watts could face murder charges and three counts of tampering with evidence, Weld County Jail in Colorado says.
On Tuesday, Watts said in an interview with Denver 7 that he was torn up inside about his family going missing and pleaded for their return. He is being held without bail at the Weld County Jail. According to his account, he left their house hours after she returned home, around 5:15 a.m., and his wife and children were still there. When no one answered, he became anxious, he told KUSA.
"I was hoping I would just get run over by the kids running in the door, just barrel rushing me, but it didn't happen", he said.
"I just don't understand it", she said, reaching out to accept a flower that her daughter picked from a nearby lawn. "I don't know, but if someone has her and they're not safe I'll want them back now".
The FBI and Colorado Bureau of Investigation have also been investigating the case. "It was tearing me apart last night", he said. I call her rampage because she's got two speeds.
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"I walked in the house and - nothing", Chris Watts told WHMG.
Police have not provided details on the disappearance, but said they conducted a welfare check after Watts' friend called and requested one. Beach said she was a nice person with two lovely children, both of whom he had seen on their recent visit.
Colorado prosecutors say they believe a man killed his pregnant wife and two daughters in their home.
When asked if they'd had an argument before she vanished, he said: "It wasn't an argument it was an emotional conversation".
"The family are deeply saddened over the inhumane murders of their beloved daughter and sister Shanann, her unborn child and her handsome daughters Bella Marie and Celeste Cathryn".
"I just want 30 seconds alone with that heartless psychopath".
Breaking in to a smile, he then said: "I just want them to come back".