Police found the girls dead in their mother's River Falls house on Tuesday.
Aaron Schaffhausen, 34, has been arrested in connection with the deaths. Formal charges are pending.
Police said at a news conference Wednesday that Schaffhausen and his wife were divorced and he lives in Minot, North Dakota.
They said he contacted his ex-wife Tuesday and asked for an unplanned visit with the girls. The mother gave her permission, Schaffhausen showed up at the home and the girls' baby-sitter left.
Police say the father later called his ex-wife and told her he had harmed the children.