The women, aged 22, 28 and 29, all lived in the same house in the city of Faisalabad.
"The men suspected that the three women had illicit relations with other men and shot them in the chest and face and fled after the murders," police investigator Mohammad Ayub told AFP.
Police have launched a manhunt, he said, added that it appeared to a case of "honour killings".
Officials at the local police station confirmed the account.
Hundreds of women are murdered by their relatives in Pakistan each year on the pretext of defending family "honour".
Pakistan amended its criminal code in 2005 to prevent men who kill female relatives escaping punishment by pardoning themselves as an "heir" of the victim.
But it is left to a judge's discretion to decide whether to impose a prison sentence when other relatives of the victim forgive the killer -- a loophole which critics say is still exploited.
Publicity surrounding the film prompted Prime Minister Nawaz Sharif to vow to eradicate the "evil" of honour killings, but no fresh legislation has been tabled since then.
