Albuquerque police spokesman Gilbert Gallegos said 28-year-old Joseph Hall left home on foot, taking a gun with him but leaving his wallet, phone and keys behind.
He said Hall called a Veteran’s Affairs suicide hotline, around 4 a.m., and made threats.
“Family and friends have not been able to locate Joseph,” Gallegos said.
Hall is described as 5 feet 7 inches, 150 pounds, with brown hair and brown eyes.
Anyone with any information on Hall’s whereabouts is asked to call (505) 242-COPS.