The Arapahoe County Sheriff's report quoted one investigator as saying McKinley had been depressed over a knee surgery he had a month ago.
"He had made statements while playing dominoes shortly after the surgery that he should just kill himself," the officer reported. "No one believed he was serious."
The report did not name the source of the investigator's information.
The report also said McKinley had made statements about not knowing what he would do without football. It said McKinley had flown to South Carolina 10 days earlier to see his two-year-old son and had brought him back with him to Denver on Sunday.
CBSSports.com: Remembering Kenny McKinley
Two female friends who were taking care of his son Monday and called 911. Detectives found McKinley's body with a pillow over his head and a .45-caliber semiautomatic pistol on top of the pillow. They also noted a strong odor of freshly burned marijuana, according to the report.
The report also said McKinley was taking 500 mg naproxen tablets, which is in a class of anti-inflammatories called NSAIDS, but listed no other medications.
Arapahoe County Coroner Michael Dobersen said Tuesday that McKinley died of a gunshot wound to the head. He said a preliminary investigation "suggests the wound to be self-inflicted."
Brittany Boyd, the wife of former Broncos running back Cory Boyd, who was McKinley's best friend and college teammate, was one of the two women who were taking care of McKinley's toddler son when they discovered McKinley had shot himself.
She told The Associated Press she didn't know who told the investigators that McKinley had mentioned suicide, but added that she wouldn't be surprised if nobody would have taken such a threat seriously.
"That's not the type of thing he would say and if he did say it, that's not the type of thing that you would take seriously coming from him.
"Because of his personality, because of who he is, nobody would have ever believed he would have done it."
Broncos coach Josh McDaniels said in a tearful news conference Tuesday that that McKinley was suicidal before his death.
Boyd said she had picked up McKinley and his son at the Denver airport Sunday and nothing seemed amiss.
"He was just excited about having his son here. He showed no signs of depression, no signs of awkwardness. He was 100 percent himself," Boyd said.
She did say, however, that she could tell over the last month that McKinley was having a hard time with not being able to play football or be around his teammates every day. But she said it wasn't like he was struggling to the point anyone feared he would harm himself.
She said neither she nor her friend who was helping take care of the boy knew McKinley had a gun.
This is the third time in four years the Broncos have had to deal with the death of a teammate under stunning circumstances. Cornerback Darrent Williams, 24, was slain in a drive-by shooting on New Year's Day 2007, and three months later running back Damien Nash, 24, collapsed and died after a charity basketball game in St. Louis.