Last words Aaron Hernandez said to his fiancee

Shayanna Jenkins-Hernandez's fiance, former New England Patriot Aaron Hernandez, was found dead in his prison cell on April 19, 2017, from what is believed to be a suicide. The night before he died, Jenkins-Hernandez says she and her high school sweetheart spoke on the phone and she says it seemed to be a normal conversation, leading her to question whether he actually took his own life.

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In an exclusive two-part interview with Dr. Phil, Jenkins-Hernandez tells him the last thing Hernandez told her before they got off the phone.

"I remember him saying, 'Babe, I've got to go. They're shutting the doors,'" Jenkins-Hernandez says. "And I, honestly, don't think that we said I love you to each other, and that was it."

"There was no monumental goodbye, no finality in what he was saying?" Dr. Phil asks.

WATCH: Aaron Hernandez's Fiancée On His Suicide: 'I Never Would Have Suspected Something Like This'

"It was a normal conversation, which makes me doubt so many things," Jenkins-Hernandez says. "I just know that the feedback I was getting from our last talk had nothing to do with any suicidal thoughts. But then again, I don't know what that would be. But to me, it was completely normal."

Hernandez, who was serving a life sentence for the 2013 murder of Odin Lloyd, was found hanging by a bed sheet. It was reported that he jammed his cell door, had the words "John 3:16" on his forehead and had written the same Bible verse on the wall of his cell. Five days prior, he had been acquitted in a 2012 double murder and was appealing his conviction for the murder of Odin Lloyd.

WATCH: Aaron Hernandez's Fiancée Says She Doesn't Believe He Was Involved In Odin Lloyd's Murder

On Monday's episode, Jenkins-Hernandez, who is mother to Herndandez's 4-year-old daughter, discusses the note he left for her and why she has questions about it. And on Tuesday, Jenkins-Hernandez responds to rumors about the football star's sexuality and his alleged intimate relationship with a fellow inmate. Check here to see where you can watch.