Rioting broke out after the killing of radical Muslim cleric Aboud Rogo, the Kenya News Agency reported.
The officers were killed when rioters threw a grenade into a vehicle transporting a group of corrections officers called in to help quell the violence.
One officer died at the scene. The other two died at a hospital. Eleven others were injured and hospitalized.
Some 23 people were arrested in the disturbances on charges of taking part in a riot and unlawful assembly.
They were scheduled to be arraigned Wednesday.
While police were attempting to restore order, the violence had subsided enough for President Mwai Kibaki to resume scheduled public appearances. He was to visit the Mombasa International Show Thursday and to unveil a naval ship.