Hernandez was later accused of orchestrating the man's death in an industrial park near Hernandez's home.
According to an affidavit attached to search warrants unsealed Tuesday, Hernandez approached police after he noticed them parked outside his North Attleboro home on June 17, the day Odin Lloyd's body was found.
Police said they asked him about an SUV he had rented. Hernandez told them he rented it for Lloyd and had last seen him in Boston the day before, the documents said.
The affidavit then said Hernandez became argumentative, asked "what's with all the questions?" and locked the door of his house behind him.
He then returned with his attorney's business card, and didn't respond when police told him they were investigating a death.
"Mr. Hernandez slammed the door and relocked it behind him," the records read. "Mr. Hernandez did not ask officers whose death was being investigated. Mr. Hernandez's demeanor did not indicate any concern for the death of any person."
Hernandez came out about 10 minutes later and agreed to be questioned at a police station, according to the documents.
Hernandez is being held without bail after pleading not guilty to murder in the killing of Lloyd, whose bullet-ridden body was found in an industrial area near Hernandez's North Attleborough home.
His attorneys have said the evidence against him is circumstantial and that Hernandez is anxious to clear his name.