Prince William exits the Lindo Wing of St Mary's Hospital without Kate Middleton or the royal baby girl on his way to pick up his son, Prince George, May 2, 2015. Reuters

UPDATE: Prince William returned to the Lindo Wing at approximately 4:15 p.m. with Prince George.

After reports that the Duke and Duchess of Cambridge would be exiting the Lindo Wing shortly with their newborn daughter, royal supporters outside St Mary’s Hospital were surprised to see Prince William leaving the building alone.

Shortly before 4 p.m. GMT, Prince William left the Lindo Wing wearing a blue sweater. He waved at royal fans before jumping in a vehicle and leaving the area. He was not accompanied by Kate Middleton, his first born son Prince George or the family's newest addition. Video footage posted by Kensington Palace shows Prince William telling fans that he was on his way to pick up George.

Check out more photos below:

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Prince William exiting Lindo Wing. Getty
Prince William outside Lindo Wing Getty
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Prince William told royal supporters outside Lindo Wing that he was on his way to pick up his son, Prince George. Getty