The women, aged 22, 28 and 29, all lived in the same house in 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.
'Honour' killing: Young couple shot dead in Karachi for marrying of their free will
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.
Last week a teenage girl in the country's northwest was strangled and her body set ablaze after a village council ruled she must die for helping a friend to elope, sparking anger from rights activists.
The state has 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.
"A Girl in the River: The Price of Forgiveness" -- a film telling the story of a rare survivor of an attempted honour killing -- won the Academy Award for best documentary short in February.
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.
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