Illinois State Police are now heading the investigation.
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The family's desperate plea cried aloud outside the Dolton Police Department, where Darius Wilson, spent his last moments alive.
State police responded to the jail late last month, where they found Wilson dead in cell.
Now, Wilson's family has returned to the police department with their calls for transparency in the case.
His fiancée, LaKendra Williams, spoke her grief, while pregnant with their fourth child.
"He was cooperative with them, so I don't understand how something like this happened at all," Williams said. "We're planning for another baby in three months. He wouldn't do something like that."
Williams said the 29-year-old was arrested and taken to the Dolton Police Department on October 25, after they had a heated argument.
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Wilson's father said he spoke with his son over the phone while he was in police custody and planned to pick Wilson up the following day.
He recalled their last conversation.
"It was more so, like, 'Ok, we'll, can you come pick me up? Ok, come pick me up tomorrow when they release me,'" said Wilson's father, Lester Perkins.
But that day never came.
Illinois State Police said they responded to the police station just after 11 p.m. that same night. That's when they said Wilson was found dead in his cell.
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Dolton Police claim Wilson took his own life. However, his family said they don't believe it.
"I feel mad because my daddy wouldn't do this to himself," said Wilson's 9-year-old daughter, Asia Williams.
Now, they're gathering on what would've been Wilson's 30th birthday, demanding answers.
"At this point, we just want answers. We asked for answers. No answers have been given," Perkins said.
In a statement to ABC7, Dolton's Police chief said, "To the family of Mr. Darius Wilson, we send our heart filled condolences and will continue to pray for you as you deal with the loss of your beloved family member."