A former bodyguard for the late UnitedHealthcare CEO was baffled by the lack of security for Brian Thompson after he was killed in a deadly shooting that sparked a manhunt in New York City.

“It was confusing to be honest. You know, you’re dealing with someone in the No. 1 healthcare organization in the United States of America who is a corporate executive, a high-level employee who just sits on the board, and he has no protection around him, that is “It’s just confusing,” Philip Klein said during his appearance Thursday night on CNN’s “Laura Coates Live.”

“I don’t understand it. We still don’t understand it,” he added.

Thompson was killed just before 7 a.m. local time on Wednesday outside New York’s Hilton Midtown, where he was scheduled to speak to investors at an annual meeting.

The health care executive was shot in the right calf and back, NYPD Chief Detective Joseph Kenny said. He was pronounced dead 30 minutes later in what law enforcement described as a “targeted” shooting.

Police are still searching for the suspect, who is on the run, as the manhunt has entered its third day. The shooter’s photos have been released since the murder. Police are examining a protein bar wrapper and a bottle found near the shooting site for fingerprints and collected DNA.

Police believe the suspect left New York City on a bus.

Klein, the CEO of Klein Investigations, told CNN anchor Laura Coates that there could be two reasons why Thompson didn’t have security around him.

“Firstly, it could have been a personal decision. He may not have liked living in the bubble,” Klein said Thursday, adding that UnitedHealthcare may have instead chosen not to provide security for Thompson.

The long-time investigator emphasized that he didn’t know the answer, but that the circumstances were “highly unusual.”

“It is highly unusual for the CEO of a multi-billion dollar company to have no people around him. It’s just – again, it’s confusing,” he said.

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