Who said he was innocent? We don't know if hes guilty or innocent. (Personally, and IMO, hes guilty)
However, lets presume he didn't commit this murder. Talking to the cops could lead to the collection of evidence against him on other charges. Remember the whole "This can and will be used you in a court of law? What if he went on the record with some huge story about them having a physical fight and him leaving her on the side of the road. Right there, they have your confession for domestic violence and grand theft auto. He might not have killed her, but hes likely headed to jail. So its STILL not in his best interest to talk to the law enforcement.
And lets be honest, if she was still alive and he knew, his lawyer would have likely convinced him to come forward with that information and yet he didn't.