The way i remember it was he was more like "there is no suspect in any criminal investigation THAT I KNOW OF". The "that i know of" is what caught my attention. He may know of a criminal investigation but they haven't told him that they suspect someone.
I don't understand how he could actually hug HKS at that funeral if he suspected that Anna had not died naturally. Even if Stern didn't kill her the man is scum and how can that be not obvious to the players in this melodrama?