They are searching for a “known acquaintance” of Henry’s in connection with the murder.
Immediate family members did not comment but a man indentifying himself as Henry's uncle say they believe they know the who the gunman is.
"She had a stalker boyfriend," he told WMAQ in Chicago. "And she had a restraining order against him and she was trying to avoid all this."
A Knicks source close to Curry described him as “distraught” on hearing the news of his former girlfriend’s death and what his son witnessed, according to The News.
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Curry flew back to New York from Philadelphia after a game on Saturday, the source said.
The Knicks center has had on-going tragedy in his personal life since being traded from the Chicago Bulls in 2005.
His former driver sued him for sexual harassment and racial discrimination, accusing Curry of unwanted advances, pointing a gun at him and making "abusive, anti-Semitic epithets."
In 2007, Curry's family was robbed in their suburban Chicago home by masked men who took cash and jewelry after duct taping the family in the house.
No one had been charged in Saturday's killings as of Sunday afternoon, and results of autopsies were not yet available.
Curry's attorney, Kelly Saindon, said the basketball player's family was devastated by the news.
The Knicks issued a statement Sunday on Curry's behalf asking the media to respect the privacy of the two families.
"The Curry family is deeply saddened by this tragic loss and will keep the Henry family in their prayers," the statement said.
Police believe the killings near the city's South Side were the result of a domestic dispute, Bond said. She would not elaborate.
Rob Bryant, who said he was Nova Henry's uncle, told the Chicago Sun-Times that Henry had a restraining order against her boyfriend.
The city recently has seen several high-profile deaths blamed on domestic violence. A brother-in-law of Oscar-winning actress Jennifer Hudson pleaded not guilty Tuesday to charges he fatally shot Hudson's mother, brother and nephew. Prosecutors allege William Balfour killed them in October 2008 because he was upset the actress's sister had been dating another man.