The suspect Sanjay Baliram Shinde later locked himself in his house, police said.
One of the deceased was a close relative of the suspect, a police official said.
According to police, Shinde opened fire at two different places - Nagar Mori and Borawake Nagar --- in Daund, killing three persons.
Additional Superintendent of Police Sandip Pakhale said the reason behind the attack was still unknown.
"The accused is still at large. We are outside his house. Since he has a weapon, we are treading cautiously," the officer said.
"SRPF companies and additional force from Pune were summoned to control the law and order situation," he said.
According to a senior SRPF official, Shinde belongs to India Reserve Battalion, Kolhapur, which is a part of SRPF.
"Due to unavailability of space in Kolhapur, some IRB companies are kept at SRPF Group 5 and Group 7 in Daund. The accused Shinde is under the administrative control of Commandant, SRPF 16 Kolhapur," said the officer.
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