Colleen Dunbar said she spoke with Hasse a week before he died and he told her he had begun carrying a gun at work.
"He told me he would use a different exit every day because he was fearful for his life," Dunbar told CNN.
She said that Hasse gave no specifics on why he felt threatened, only that he did.
A neighbor said Cynthia McLelland had been concerned that Hasse wouldn't be the only person killed, but she thought her husband would be OK.
"And I said, 'What about Mike? You think he's safe?' And she said, 'Yeah, I'm not worried about about Mike,' " David Crone told WFAA.
Are killings retribution?
Authorities insist that they just don't know who may be behind the killings.
However, McLelland's office was one of numerous Texas and federal agencies involved in a multiple-year investigation that led to the 2012 indictment of 34 alleged members of the Aryan Brotherhood of Texas, including four of its senior leaders, on racketeering charges.
At the time, Assistant U.S. Attorney Lanny A. Breuer called the indictment a "devastating blow" to the organization, which he said used threats and violence, including murder, against "those who violate (its) rules or pose a threat to the enterprise."
The FBI describes the group as a "whites only," prison-based gang with members operating inside and outside of state and federal prisons throughout Texas and elsewhere in the United States since at least the early 1980s."
While authorities have not said whether they have established a link between the deaths of Hasse and McLelland, or the involvement of white supremacists, Texas law enforcement agencies did warn shortly after the November 2012 indictment that there was "credible information" that members of the Aryan Brotherhood were planning to retaliate" for the indictment.
Wood said Monday that no physical evidence links McLelland's death and Hasse's, although previously he had said he believes there is a "strong connection" between the killings.
In an interview with The Associated Press after Hasse's death, McLelland said his deputy hadn't been involved in the Aryan Brotherhood of Texas investigation. But the district attorney nevertheless raised the possibility the group was behind his death.
"We put some real dents in the Aryan Brotherhood around here in the past year," McLelland told the news agency.
In the AP interview, McLelland said he, too, began carrying a gun after Hasse's death and was answering his door more carefully.
Pete Schulte, a criminal defense attorney who has worked in the county, said other lawyers and public servants were nervous.
"Having that type of environment going on where people who are just doing their jobs (and) getting assassinated -- this is what this is, elected officials getting assassinated -- and that is sending a chill through the (legal) community and the community in general," he said.
Schulte speculated that the killings were "personal."
"If this was a case that somebody was trying to change, they would have been going after witnesses and not the prosecuting attorney," he said.