Police also recovered two magazines and 21 rounds of ammunition and two mobile phones suspected to have been stolen.
Two other suspects escaped. No police officer or civilian was injured during the shoot out.
A report filed at Buruburu police station says police officers on patrol were informed that the three were robbing pedestrians in KCC village by residents.
The officers proceeded to the scene and caught up with the suspects but the gunmen fired at police after they were challenged to surrender, prompting the shoot out.
Police said the slain suspect Jeremiah Chege was a wanted criminal linked to series of armed robberies in the area.
He had been charged with robbery with violence and rape and the case is pending before courts.
Chege allegedly stole the a firearm on April 27 last year.
-Joseph Ndunda