The letter, handwritten in English, pledges allegiance to IS.
All three women died in Sunday's attack in Mombasa, Kenya's second largest city. No group has claimed responsibility.
The letter is signed by "Umm Maysarah," ''Umm Ma'bad" and "Umm Sa'ad," who pledged allegiance to IS leader Abu Bakr al-Baghdadi, SITE Intelligence said late Monday. The letter threatens bloodshed to revenge the jailing and killings of Muslims in Mombasa.
The head of the national Anti-terrorism Police Unit, Munga Nyale, said they could not immediately establish the letter's authenticity.
Kenya over the past year has raised concerns that the Islamic State group is trying to gain a foothold in East Africa. Authorities say more than 20 Kenyan youth have been recruited.
Al-Qaida has had a presence in East Africa for years through its Somalia-based al-Shabab affiliate, which has recruited hundreds of Kenyans and used them in numerous deadly attacks.
On Sunday, police said, the three women went to Mombasa's Central Police Station pretending to report a stolen phone. One drew a knife. Another threw a petrol bomb at officers. One had a suicide vest that didn't detonate.
Three women suspected to be accomplices were arraigned in Mombasa today. However, Naim Mohammed, Said Ali Hajj and Shukri Ali Hajj could not be charged because of the lack of a translator.
State counsel Erick Masila told the court the women were Somali nationals.
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