Danley, who said she had voluntarily flown back to Los Angeles yesterday, added that she was cooperating fully with the FBI in their investigation.
The woman believed to be the girlfriend of Las Vegas gunman Stephen Paddock has arrived in the United States, where she is wanted for questioning.
"There are a lot of different steps we could take", she contended.
"Like all Filipinos overseas, I was excited to see family and friends", Danley said in her statement.
The Philippines' National Bureau of Investigation (NBI) said the FBI, its U.S. counterpart, had sought help in finding Danley.
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"She didn't even know that she was going to the Philippines until Steve said, "Marilou, I found you a cheap ticket to the Philippines", the sister said in an interview Wednesday.
More than 500 people were injured, some trampled in the pandemonium, when Paddock, 64, strafed an outdoor concert with gunfire on Sunday night from his 32nd-floor suite of the Mandalay Bay hotel on the Las Vegas Strip.
According to Lombardo, Danley remains the only person of interest in this case. She was sent away.
Paddock "never said anything to me or took any action" which she understood as a warning of what was to come, she said in a statement read by her lawyer.
The Las Vegas Metropolitan Police Department released the footage on Tuesday, Oct. 3.
Ms Danley, who is classed as a "person of interest", spoke with the Federal Bureau of Investigation for several hours as the investigators struggled to establish a motive for Paddock.
The Las Vegas shooter's girlfriend says in a statement that she knew him "as a kind, caring, quiet man".