The former bodyguard of the late Brian Thompson said he is baffled by the lack of security for the former UnitedHealthcare CEO after the murder in New York City on Wednesday.

Speaking on CNN's "Laura Coates Live" on Thursday, Philip Klein said, "It was baffling, to be honest with you. You know, you get at somebody in the No. 1 healthcare organization in the United States of America, who is a corporate executive, a high-ranking one, as a matter of fact, just sitting on the board of directors, and he has no protection around him -- that is just baffling."

"I don't understand it. We still don't understand it," he added.