Police did say they found the bodies near where they found Shanann Watts'.
He is charged with three counts of murder in the first degree and three counts of tampering with physical evidence.
Frederick is in Weld County, about 15 miles southeast of Longmont.
Watts said he last saw his family early Monday morning before leaving for work.
Frederick Police Department Detective Dave Baumhover said the Watts' home showed no signs of foul play and he added there was nothing to suggest Shanann has mental health problems. As of publication of this story the bodies of the couple's little girls have yet to be found. Watts' explanations of what he thought happened were vague.
Law enforcement has not confirmed the confession, and investigators have not said what led to the killings. He was taken into custody at about 11:30 p.m. on Wednesday.
Judge Marcelo Kopcow reportedly told prosecutors to file formal charges on Monday, and set a hearing date for Tuesday. A pickup truck was towed from the scene, and a dog was taken out of the home and handed to someone outside.
Neighbors left a cross and teddy bears near the home.
Overnight, Shanann Watts' brother, in a distraught Facebook post, wrote that he just wanted "to know why".
The case in the death of Shanann Watts, the 34-year-old pregnant woman who went missing in Colorado, has come to a grisly end.
Shanann Watts was 15 weeks pregnant.
Shannan Watts' two young daughters.
"I hope that she's somewhere safe right now and with the kids", he told the station. "Like, this house is not the same".
He told the outlet Wednesday that he had an "emotional conversation" with his wife the night before she vanished, but he didn't elaborate as to the subject or if it developed into an argument. But I just want them back.
His 34-year-old wife, Shanann Watts, and their two daughters, 4-year-old Bella and 3-year-old Celeste, were reported missing Monday. In an interview with KMGH-TV, Watts said his wife's purse, keys and phone were all left at home before she went missing.
The CBI and FBI assisted local authorities in the investigation.
She said the two friends were supposed to meet later in the day, but Watts didn't answer her phone.
In the interview with 9NEWS, Chris Watts glowingly described his girls. 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. Beach said she was a nice person with two lovely children, both of whom he had seen on their recent visit.