Authorities on Monday were searching for two young children missing from a home where their grandparents and an uncle were found slain the night before.

Eighteen-month-old Bryan Cervantes and his 3-year-old sister, Jennifer, were believed to be with their father, Rodrigo Cervantes Zavala, who may have been headed for Mexico, officials with the Maricopa County Sheriff's Office said.

Authorities described Cervantes Zavala (search), 34, as an "investigative lead" rather than a suspect. The children's mother told investigators that he had threatened the family several months ago.

Investigators went to the children's home late Sunday after two hang-up 911 calls were recorded, said sheriff's spokeswoman Kip Rustenburg.

The bodies of Saul Lopez Acosta (search), 63, and Trinidad Castro Acosta, 51, were found in the living room. Jesus Manuel Acosta, the children's 17-year-old uncle, was also dead.

The victims were all relatives of the children's mother, Oneida Acosta, who was not at home at the time of the slayings, investigators said. They said all three victims were apparently shot to death and are from Mexico.

"It's like a bad dream," said Alfredo Acosta, Oneida Acosta's cousin.

He said he was hoping the children would be returned unharmed. "I don't believe this is happening right now to us," Acosta said.

Investigators waited several hours before issuing an Amber Alert (search) because they didn't know the children were missing until their mother returned home with her boyfriend, Rustenburg said.

Customs officials got word of the Amber Alert around 4:30 a.m., nearly six hours after the 911 hang-up calls were reported.

Queen Creek, southeast of Phoenix, is about 170 miles from the Nogales, Ariz., border port.