"It is being inquired whether they jumped from the top floor of the building," Joint Commissioner of Police (Crime) Pallab Kanti Ghosh said.
A piece of paper was found near the bodies which, though not a suicide note, indicated that they were suffering from depression after the recent death of the woman's husband, Ghosh said.
The three were residents of Golf Green ara, one km away.
The register at the building showed that the three checked in last night, but it was yet to be ascertained if they stayed throughout the night, police said.