Chief Detective Joe Kinney

from speaking to other employees that traveled with him to New York.

It doesn't seem that he had any security detail.

He left the hotel by himself, was walking, didn't seem like he had any issues at all.

So I don't think he did not have a security detail.

Brian Thompson's wife, Paulette, tells NBC News that Brian has been receiving death threats.

It's unclear what exactly the suspect purchased, but police believe a water bottle and candy wrapper left at the crime scene may belong to the shooter and are testing the items for latent fingerprints and DNA.

Police still have not identified the eyewitness who ran from the scene as Thompson was gunned down.

Authorities are asking her to come forward, hoping she may be able to provide new details on the shooter.

There's a cell phone recovered in the alleyway.

We're working through that cell phone.

Obviously, we'll be processing it forensically.

And as far as words being exchanged, we do not have audio of the incident.

We only have the regular video.

But nothing from witnesses?

Nothing.

Well, there was one witness standing right next to the victim when he was shot.

We're still trying to identify that victim.

Excuse me, that witness.

Listen.

Once again, we're looking at everything.