Bagger disappeared during a family vacation in Dubai last month and is wanted in Denmark for fraud and other charges following the spectacular collapse of his company, the once high-flying IBM partner IT Factory.

Bagger turned himself in at a Los Angeles police station last Saturday and is being held in jail in Santa Ana, California, awaiting repatriation to Denmark to face charges. He talked to a reporter from a Danish publication who interviewed him during visiting hours Thursday morning.

"I have been threatened on my own and my family's life, and I have been threatened with firearms between 25 and 30 times," Bagger told the reporter, from Denmark's , according to a of the in Danish.

He would not say who threatened him but claimed they forced him to embezzle money from IT Factory, according to Mikkel Selin, the reporter who interviewed Bagger. Selin said Bagger told him, "They are people who are very close to me, also physically close to me," suggesting he knows the people well, Selin said.

Press reports in Denmark have linked Bagger to members of a local Hell's Angels gang, who were implicated in an attack on a person said to be an associate of Bagger. They are more pieces of a jigsaw puzzle that Danish authorities now have to put together.