George Sodini, 48, was ultimately let go by Port Authority of Allegheny County police because they couldn't confirm he was the man on the bus July 28, authorities said.
But County police Superintendent Charles Moffatt told the Pittsburgh Post-Gazette that investigators found writings in Sodini's home after the shooting that referenced the situation.
Moffatt did not immediately return a call from The Associated Press on Monday.
In addition to the deaths, Sodini wounded nine people who were attending the aerobics class at the L.A. Fitness club in Collier Township, a suburb of Pittsburgh, on Aug. 4.
Port Authority spokesman Jim Ritchie said transit police didn't charge Sodini because the witness who reported seeing a man with a grenade couldn't confirm Sodini was the one, and Sodini denied it when police found and questioned him two days later.
"It wasn't until two days later that our sergeant found a guy matching the description," Ritchie told The Associated Press on Monday. "There wasn't much more we could do at that point."
The passenger saw a man matching Sodini's description take a grenade out of a computer bag around 7 a.m. July 28 and move it around in his hands. The passenger didn't report it to Port Authority police until that afternoon, Ritchie said, too late for police to search the bus.
The passenger "definitely saw it; he just wasn't sure it was a real (grenade)," Ritchie said. "It looked pretty real to him."
The passenger told police the man "was sort of toying with it in his hands, sitting there almost passing the time with the thing in his hands."
Police began staking out that bus route, and on July 30 a sergeant stopped, questioned and searched Sodini because he matched the description of the man with the grenade. The officer photographed Sodini, but the passenger was shown the picture and couldn't confirm Sodini was the man with the grenade, Ritchie said.
Port Authority officials immediately notified county police about the grenade investigation once Sodini was identified as the health club shooter, Ritchie said.
Moffatt told the Pittsburgh Post-Gazette that he can't say whether police found a grenade at Sodini's home, but they did find writings. He did not elaborate.
Two people injured in the shooting remained hospitalized Monday, one in fair condition and one in serious condition, hospital officials said.