From an online article.

Mark Lester - who is godfather to Michael's three children, Prince Michael I, 12, Paris, 11, and seven-year-old 'Blanket' - told Hello! magazine:

"It is obvious to me that Blanket is still unsure about what exactly happened to his father. He said, 'Where's daddy gone? On holiday?' It was a rhetorical question and it broke my heart."

It broke my heart too.