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He's "investigating the deaths", which, of course, took place in Libya. 

He must be planning on filing charges against the Filmmaker, who lives in the Los Angeles area.

Why else would he be investigating a crime that did not take place on American soil?

From USA Today:

The official said authorities had concluded that Nakoula Basseley Nakoula, 55, was behind "Innocence of Muslims," a film that denigrated Islam and the prophet Muhammad and sparked protests earlier this week in Egypt, Libya and most recently in Yemen. It was not immediately clear whether Nakoula was the target of a criminal investigation or part of the broader investigation into the deaths of U.S. Ambassador Chris Stevens and three other Americans in Libya during a terrorist attack. Attorney General Eric Holder confirmed Thursday that Justice Department officials were investigating the deaths, which occurred during an attack on the American mission in Benghazi.