They did say, the US navy picked up sounds from sonar in the general area, around the time the sub lost communications, that were consistent with an implosion or explosion. But as
@pluk pointed out. They were not conclusive.
Only when they found the debris did they realise that it infact probably was the sub.
So many questions get raised though. Stockton obviously thought his sub was really good, else he would not have been in it himself. Yet the sub would never have got certified by industry bodies in part because of the carbon fiber pressure vessel, a terrible choice of material for a deep dive sub and the window, which was rated for 1500m, not the 3800m that the Titanic lies at. It seems like Stockton was in a delusion himself. Believing things like this could be done easily, cheap and by general skilled people, not experts. This comes across in the design, planning and execution of the sub.
With that in mind, there were some experts onboard, specifically the French pilot, who was very acomplished in the world of deep sea diving. Why was he not alarmed with the carbon fiber material choice and the huge concerns raised by the industry. If anyone on board should have understood and respected these things, it would have been him. But it went missed. The window may not have been known about, the carbon fiber choice most certainly was, as it is stated in many promotional videos, including on OceanGates website.
An interesting fact I saw. The sub would have taken approximately 1ms to implode, at a speed of approximately 1500mph. The human brain takes 25ms to acknowledge a stimulus. 125ms at a minimum to react. So these guys would not have even know what had happened before it was even over. There is a chance that the rapid compression of the gasses inside the pressure vessel would have ignited too. Due to the pressure it would have been a very short and sharp blast furnace on steroids. Incinirating them in a tiny, tiny fraction of time.