The Salt Lake Tribune reported on its Web site Thursday that Daniel James Murray allegedly made the remark to a teller at a bank in St. George on May 27 as he withdrew $13,000 from an account.
Murray's whereabouts are unknown. A court affidavit says Murray is from New York and has recently been in California, Utah, Georgia, Oklahoma and possibly Texas.
The U.S. Secret Service says Murray has at least eight registered firearms, the Tribune reported.
Malcolm Wiley, a spokesman for the Secret Service in Washington, told The Associated Press he had no comment Thursday.