Police earlier Sunday had said that Stephens had broadcast it on Facebook Live.
In a statement late Sunday night, Facebook said suspect 37-year-old Steve Stephens did go live at one point during the day, but not during the killing.
Stephens' cell phone last released a "ping", or a signal, in Erie, Pennsylvania, about 100 miles east of Cleveland, Pennsylvania authorities told CNN, but Cleveland Police Chief Calvin Williams told reporters Monday he couldn't speak to that.
Although Stephens claimed responsibility for additional killings, authorities have only confirmed one victim.
Police say Stephens, who is considered armed and unsafe, may have left the state and are urging Pennsylvania, New York, Indiana and MI residents to be on the lookout.
Authorities also warned people in Pennsylvania, New York, Indiana and MI to be alert for Stephens, who was wanted on a charge of aggravated murder.
They are asking the public to be vigilant in Pennsylvania, New York, Indiana, and MI.
Stephens is described as 6 foot 1 inches tall, 244 lbs., with black skin, a bald head, and a full beard.
"Any problems he is having, we can have a conversation", Williams said. Anyone who sees the auto that matches the description of the suspect's vehicle is asked to call 911.
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"We are shocked and horrified and we don't know anything more about it", agency spokeswoman Nancy Kortemeyer told WOIO-TV.
"We're still imploring Steve to turn himself in", Williams said Monday.
Police say Stephens killed 74-year-old Robert Goodwin Sr. The suspect in a murder-suicide that killed a teacher and an 8-year-old student at a California elementary school last week was the estranged husband of the teacher he shot to death before turning the gun on himself. In a statement, the spokesperson said the shooting was a "horrific crime". Williams said "currently there are no other victims that we know of".
The footage of the killing was on Facebook for about three hours before being taken down, and Stephens' page has also now been removed from the site. He tells Godwin a woman's name, claiming "she's the reason that this is about to happen to you" - Godwin doesn't appear to recognise the name.
But Stephens remained at large as the hunt for him expanded nationwide, police said.
The video was posted around 2 p.m. Sunday.
Williams said Stephens may be driving a newer model white Ford Fusion with temporary OH license plate E363630. If this person needs some help, which obviously he does, he needs to call someone; he needs to turn himself in so he can get the help he needs.
Stephens is an employee at Beech Brook, a children's behavioral health center in OH, a company spokesperson told ABC News.
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