Davis, 27, was shot twice around 5 a.m. on July 16.
While he initially told investigators he was driving home from a family gathering in Shreveport, La., he later gave police a written
statement with a different story, Dallas police spokesman Lt. Rick Watson said.
Watson declined to say what was in the written statement. He said he could not confirm a report by The Dallas Morning News that Davis had been at a private party.
The News said police had talked to people who attended the party and no one said anything that might explain the shooting, leading them to believe it was either a carjacking or a road rage incident.
Watson said police are out of leads and are looking for the occupants of a white pickup truck that was on the freeway just before the attack. The truck exited the highway before the shooting but may have seen the vehicle that was involved.
The incident marked the second time in three years that Davis has been shot a few weeks before the start of training camp. He's believed to have been an innocent bystander both times.
"I warn my players consistently about where they're going and what they're doing," Cowboys coach Bill Parcells said Friday at the team's first training camp news conference. "Based on what we've gathered, he's a victim. It's unfortunate."
In June 2003, Davis was hit in the hip and elbow while picking up a friend at a topless club. He was then released on the first day of training camp. He rejoined the club the following season and became so valued that he started 15 games last season and, earlier this summer, received a two-year contract worth roughly $3 million, including about $2 million in bonus and salary this season.
In last week's shooting, one bullet grazed Davis' head and another lodged in his thigh. He was released from the hospital in good condition two days after the incident and reported to Cowboys training camp Thursday.
"We have every reason to think he'll be fine," Parcells said.
Davis was unavailable for comment. His agent, Curtis Stephens, didn't immediately return a call seeking comment.