CHILLING footage shows a tearful dad pleading for the safe return of his missing pregnant wife and two daughters - hours before reportedly confessing to killing them.

Cops are now said to be searching for the bodies of Shanann Watts, 34, and her daughters, Bella, four, and Celeste, three, known as "Cece".

5 Chris Watts told TV journalists he had no idea why his wife and kids had disappeared Credit: NBC

Cops revealed Chris Watts made the shocking confession late yesterday, according to Denver7.

The dad is said to have been detained just hours after he said in a TV interview: "I have no idea, like, where they went."

He added: "I don't feel like this is even real right now. It's like a nightmare I can't wake up from."

The police later tweeted Watts is being held at the Weld County Jail.

5 Watts said he thought his wife had taken their daughters to a friend's house Credit: Facebook

5 Shanann was 15 weeks pregnant with the couple's third child when she disappeared Credit: Facebook

He has not yet been charged and it is not known if he has a lawyer. The FBI and Colorado Bureau of Investigation are also investigating the incident, local legal sources told Denver7.

Shanann, who was 15 weeks pregnant with her third child, disappeared from Frederick, Colorado, on Monday after returning from a business trip. According to Facebook, Shanann worked for a company which sells a weight loss and wellness patch, which she can be seen wearing in some pictures. In an interview with NBC's Today show, Watts said he and Shanann had an emotional conversation the morning before she went missing. 5 Shanann worked for a company which sells weight loss and wellness patches Credit: Facebook 5 Watts earlier claimed he texted his wife numerous times but didn't receive any response Credit: Facebook Watts also said his wife told him she was planning to take their girls to a friend’s house and that was the last he had heard from her. He later claimed he saw - via their doorbell security camera - that a friend had called by the family home but no one had answered the door. Watts claimed he texted his wife numerous times but didn't get any response which he thought was odd. He then raced home but found it empty and quickly filed a missing persons report with the cops. He said: "It was like a ghost town."

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He claimed: "I was trying to get home as fast as I can, I was blowing through stop lights.

"I was blowing through everything just trying to get home as fast as I can because none of this made sense.

"I don't feel like this is even real right now.

"It's like a nightmare I can't wake up from."

The Frederick Police Department confirmed they had made an arrest "in connection to the missing person's case" of Shannan and her daughters.

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