A prominent pharmaceutical executive has left California for Arizona as police investigate the mysterious deaths of his young son and girlfriend who died within four days of each other inside his mansion on the San Diego Bay.

Jonah Shacknai, the 52-year-old chairman and chief executive of the Scottsdale-based Medicis Pharmaceuticals, Inc., has left his mansion in Coronado, Calif., for Arizona while investigators probe the deaths of his son, Max, and girlfriend, Rebecca Zahau, Fox5SanDiego.com reports. 

Max, 6, died Sunday almost a week after falling down the stairs at the historic Spreckels mansion. The boy's death came four days after Zahau's body was found hanging by her neck --  naked with her hands and feet bound -- from an outdoor second-floor balcony at the home. 

Investigators have called the 32-year-old woman's death bizarre, and say they're investigating whether it was a suicide or a homicide. They're also working to establish a connection between her death and Shacknai's son. 

The San Diego Sheriff's Department said Tuesday that it is looking into the "possibility other people may have been staying inside the house" the night before Zahau died. 

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The department also said autopsy records as well as a search-warrant affidavit will remain sealed during the course of the death investigation. 

Shacknai's brother, Adam, who was staying in the mansion guesthouse at the time, found Zahau's body in the early morning on July 13 and called 911. He reportedly cut the rope in an attempt to save her. His brother, Jonah, was not at home, according to reports. 

Zahau and a 13-year-old girl, whose name has not been released, were with Max Shacknai when he fell down the stairs two days earlier in what authorities have called a "tragic accident," according to the station. The child was not breathing and did not have a pulse when paramedics found him and took him to Rady Children's hospital, where he died six days later. 

The 27-room Spreckels mansion was built in 1908 in the wealthy seaside suburb of about 24,000 people on San Diego Bay.

Coronado had just one homicide last year, and the police department asked the sheriff's department to help with the investigation.

Jonah Shacknai founded Medicis, based in Scottsdale, Ariz., and has been chairman and CEO since 1988. A source close to the family told the station that Shacknai is planning private funeral arrangements for his son. The boy's organs were reportedly donated to three families.  

SLIDESHOW: Mystery Surrounds Death of CEO's Son, Girlfriend 

The Associated Press contributed to this report