The victims, a man and two women, were shot dead in their sleep on Sunday by militiamen from Ethiopian Oromo Liberation Front (OLF) in the Sololo area near the northern Kenya Moyale district, which borders Ethiopia.
"They were suspected of having betrayed an OLF insurgent who was killed by (Kenyan) police on Oct. 30 in Sololo area after he defied their orders to stop," said Danson Diru, the deputy police chief for Moyale district.
"When the Ethiopian security forces saw his body, they said he was a known OLF operative from southern Ethiopia."
He said the OLF rebel had started shooting at Kenya security men when he was asked to surrender.
The OLF has fought for independence for the Oromo region, alleging discrimination against Ethiopia's largest ethnic group.
Police had been tipped off by members of the public in Sololo about the presence of OLF operative in Kenya.
No arrest had been made so far, police said.

Copyright Reuters, 2006