Hernandez has yet to say anything publicly. Instead, a statement from his lawyer acknowledged there was an investigation, but didn't confirm media reports that authorities had questioned his client.
"It has been widely reported in the media that the state police have searched the home of our client, Aaron Hernandez, as part of an ongoing investigation," attorney Michael Fee said. "Out of respect for that process, neither we nor Aaron will have any comment about the substance of that investigation until it has come to a conclusion."
Three search warrants have been issued in the case, according to North Attleborough, Massachusetts, criminal clerk magistrate Mark Sturdy. They have not been made public yet because the files have not been returned, and Sturdy would not comment on whether they involved Hernandez's house or property.
The 27-year-old Lloyd, a semi-pro football player, was found dead less than a mile from Hernandez's expansive home in North Attleborough. Police searched the home and sifted through the nearby woods this week for clues.
Two investigators wearing Massachusetts State Police jackets, at least one of them carrying paper work drove up the driveway Hernandez' house Friday, rang the front doorbell and a female let them into the home.
They were in the home for a few minutes and then left. It was not clear what the investigators were doing and they made no comment when they drove away.
Lloyd died of a gunshot wound, a law enforcement source with knowledge of the investigation said Thursday.
Lloyd's sister, Olivia Thibou, told CNN that Lloyd and Hernandez were friends and were at a Boston nightclub together Friday night. She said her brother was dating the sister of Hernandez's fiance. She did not know when or how her brother and Hernandez met.
Thibou said she did not know of any problems between Hernandez and Lloyd, who worked for a landscaping company. She can't imagine why anyone would want to kill her brother, whom she described as a friendly guy who was like a father to her 7-year-old daughter.
"My son is a wonderful child," Lloyd's mother, Ursula Ward, said. "He's a family guy. He has not done anything to hurt anyone."
Neighbors told CNN that Hernandez, 23, has been a quiet, respectful neighbor.
Hernandez, who is rehabbing a shoulder injury, returned to the house Wednesday afternoon wearing a gray Patriots sweatshirt and blue sweatpants. He didn't acknowledge the presence of the media and appeared to spend the rest of the day inside or on the back deck.
But the investigation has already cost him at least one endorsement deal.
CytoSport says it pulled its endorsement deal with Hernandez, effective immediately, because of the investigation.
On the street between the home and where Lloyd's body was found, police searched through tall grass.
Nearly a dozen Massachusetts state police officers entered Hernandez's home Tuesday evening, CNN affiliate WCVB reported.
Patriots spokesman Stacey James said Tuesday the team was aware of the reports but wouldn't comment during an ongoing police investigation.
Hernandez has played three seasons for the Patriots, averaging 58 catches per year. He was selected for the Pro Bowl in his second season. ESPN reported he signed last year a contract extension that would pay him $40 million for the 2014-18 seasons.
North Attleborough is about 15 miles from Gillette Stadium, where the Patriots play their home games.
As the mystery was unfolding in Massachusetts, Hernandez and his attorneys were dealing with a lawsuit in Miami in which a man claimed Hernandez shot him after they rode in a car after an argument at a strip club.
According to a court document, Alexander Bradley contends he lost his right eye because of the February incident.
The case was dismissed Monday over an error in the initial paperwork, but it was refiled on Wednesday, according to court documents.