Police say the three victims were murdered in their home and later transported to the oil field.
"We feel so stupid. trusting him to stay the night in the same house as our daughter", Nick Thayer told ABC News on Thursday, overcome with emotion.
Investigators have not yet detailed what Chris Watts reportedly confessed to them.
On Thursday, Watts was in jail after being arrested on suspicion of killing his family, probably before he spoke those words.
It came three years before authorities accused Christopher Watts of killing his pregnant wife, Shanann, and their two young daughters.
Watts, 34, and her two daughters had been the subject of an intense search since they were reported missing on Monday.
The mother seemed to know or assume that her two daughters had staged the creepy dead doll, writing around 2.30pm: 'At least they covered the body together.
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"The suspect is presumed innocent until otherwise proven guilty in the court of law", Weld County District Attorney Michael Rourke said at a news conference Thursday.
Colorado Bureau of Investigation Director John Camper told reporters that the results of the investigation represent "absolutely the worst possible outcome that anyone could imagine". His 34-year-old wife, Shanann Watts, and their two daughters, 4-year-old Bella and 3-year-old Celeste, were reported missing Monday.
A judge ordered Watts to be held without bail and told prosecutors to file charges by Monday afternoon, with a Tuesday hearing to review the case.
He did not respond to reporters' questions when he was escorted into the courtroom Thursday.
According to her Facebook page, Shanann Watts and her family had strong ties to Passaic County.
Her husband Chris Watts faces murder charges in the case.
He said the two had an "emotional conversation" before he left for work a few hours later and that he became concerned after she did not return his calls or texts or that of her friends.
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"When I came home and then walked in the house, nothing".
Chris Watts was an employee of Anadarko until Wednesday, Aug. 15. Her comments were typically upbeat, whether she was running errands, playing with her kids or promoting a health program.
She posted selfies of her and her husband smiling in restaurants, in front of the ocean on vacation and at their house.
"I'll give the baby a hug", Bella said, leaning down to wrap her arms around her mom's belly.
Images provided by The Colorado Bureau of Investigation shows, from left, Bella Watts, Celeste Watts and Shanann Watts. "Nothing was here. I mean she wasn't here".
Her page has photo collages and video slide shows praising Chris Watts for taking care of her and their girls, how their love was growing stronger and how he was why she was fearless enough to agree to a third child. Their list of assets included their home valued at $400,000, a 2006 Ford Mustang with more than 97,000 miles on it, wedding rings and a dog, which they valued at $5.Their debts included $11,245 in student loans, according to Denver U.S. Bankruptcy Court records. Shanann was 15 weeks pregnant and had recently returned home from a business trip in Arizona before going missing.
Shanann was working at the time in a call center at a children's hospital earning about $18 per hour.
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Friends, however, have said that they never noticed anything wrong between the couple.