'It's Just Baffling': Former UnitedHealthcare CEO Bodyguard Draws Suspicion to CEO's Lack of Security: 'Highly Unusual'

A former bodyguard for the late CEO of United Healthcare has expressed shock at the lack of security present when he was fatally shot on Wednesday.

Philip Klein, now CEO of Klein Investigations, described Brian Thompson's assassination as "baffling" in a CNN appearance Thursday night.

"It is highly unusual for the CEO of a multibillion-dollar corporation not to have people around him," Klein said. "It's just...baffling."

When asked for potential reasons Thompson was unattended by a security detail, Klein suggested UnitedHealthcare could have declined to provide one, or it may have been Thompson's preference.

"He may not have liked living in the bubble," Klein speculated.

"I don't understand it," Klein said, reiterating how unusual he found the circumstances.

The NYPD has released photos of the suspect, who is believed to have fled New York City by bus.

The manhunt continues.