"He could be nearby".
The FBI said it was assisting in the investigation.
At present Stephens' claims of other killings can not be substantiated, but the man he shot on social media has been named as 74-year-old Robert Godwin Sr.
Stephens also claimed publicly to have committed multiple homicides, according to police.
Police Chief Calvin Williams warned residents to be careful as the go about their day.
Authorities have warned people in Pennsylvania, New York, Indiana and MI to be alert for Stephens, who is wanted on a charge of aggravated murder.
Earlier Monday, CNN cited a law enforcement source who stated that Stephen's cell phone ping was detected in Erie, Pennsylvania, about 100 miles east of Cleveland.
Police identify the suspect as Steve Stephens. "That's all he was doing".
Stephen's mother Maggie Green said her son called her on April 15, telling her, " If you see me again, it'll be a miracle".
"There are no more victims that we know are tied to him", he said. "He'd pick up things off the street and fix them".More news: Boy killed in classroom was 'happy child' with rare disorder
Police said they have been talking with family and friends of Stephens, who is a case manager at Beech Brook, a behavioral health agency headquartered in Pepper Pike, near Cleveland.
"We were shocked and horrified yesterday to learn about the situation involving the threats by Steve Stephens and the tragic shooting of Mr. Godwin".
The suspect then points a gun at Godwin, who shields his face with the plastic bag.
"I am sorry that all of this has happened", Lane wrote in a text message to CBS.
"Steve really is a nice guy".
Stephen Stephens, whose is wanted in a Cleveland killing that was later broadcast on Facebook, is believed driving a late-model white Ford Fusion. In the video, which the news website posted in an edited form, Stephens says the woman is the reason he was about to shoot Goodwin, a father of nine and grandfather of 14, the video shows.
A horrific and brutal crime tailored to the reality that we all live in now, a world where social media allows people to broadcast their every move in real time.
The suspect said in a separate video he has also killed more than a dozen other people. Police have issued an aggravated murder warrant for Stephens' arrest, warning residents in Pennsylvania, New York, Indiana, Michigan and OH to be on high alert.
An extensive background check before he was hired turned up nothing worrisome, she said.
Stephens is a member of the assertive community treatment team at Beech Brook, a mental health organization in northeast OH, a spokesperson for his employer said.