Why does Ambrose think the police are hot on his trail?

Ambrose overhears a couple of conversations and meets both Fortney and Zorn which lead him to believe the police know he murdered Blaze. First, Ambrose hears that Blaze’s body has been found. Second, Ambrose learns that Zorn is carrying a gun and confirms she is a detective. Third, although Anne’s question is innocent regarding the importance of the Cup, Ambrose thinks she is trying to tease him and show him that she knows what he did.