We're learning more about the man police suspect of murdering four members of one family in Illinois, then ending up in Oklahoma Wednesday. 

Nathaniel Huey Jr. died after police said he ran from Catoosa Police, crashed, then shot himself and the woman who was his passenger. 

Related: Illinois Quadruple Murder Suspect Kills Passenger, Himself On I-44 Near Catoosa, Police Say

Police in Illinois don't believe the quadruple murder was random. They believe there's a connection between Nathaniel Huey, Jr. and the victims, but they haven't released what the connection is yet. 

Alberto Rollon, 38, and his wife, Zoraida Bartolomei, 32, and their two boys, Adriel and Deigo, who were 10 and 7, were found dead from gunshot wounds Sunday night in their home in a suburb of Chicago. 

Family members had called the police because one of them hadn't shown up to work that morning. In addition to the family, officers found three dogs shot to death. 

Family members said the couple was hard-working, had just bought their first house, and the kids were the sweetest, most innocent angels. 

Neighbors said they were shocked by these murders. 

"It's devastating to me, absolutely devastating, that a young family has been murdered," a neighbor said. 

Investigators said within hours, Nathaniel Huey, Jr. was their prime suspect. 

A license plate reader spotted Huey's car in Catoosa Wednesday. He ran when officers tried to pull him over and crashed on I-44. Right before officers got to the car, they heard two gunshots before the car burst into flames. 

Illinois police have not yet released a motive. 

"Not at this time. This is an active investigation, with a sensitivity to it," said Romeoville police. 

CBS Chicago said a bulletin shared between police in Illinois says Huey had extensive firearms training and ran a security business. 

The Illinois Secretary of State's website said the business was involuntarily dissolved on September 8th. 

Neighbors are left wondering why this happened. 

"This stuff doesn't happen here, so it's very unnerving. I'm sure the whole neighborhood is shook up. There's no question about it," a neighbor said. 

The woman who was with Huey also died after being shot after the crash on I-44. Her family had reported her missing just the night before.