Police Constable Moses Mugo, who is also the bodyguard assigned to Manyatta MP John Muchiri, was in the company of a lady who suffered a gunshot during the 11pm incident.
The officer shot dead the three who were part of a four-man gang riding a motorcycle on Sunday night, while one fled on foot firing shots at the officer.
The suspected thugs had robbed the lady, who is now reported to be in stable condition at Mama Lucy Hospital, of her mobile phone and Sh5,000.
Police investigating the dramatic shoot out recovered eight mobile phones, a bag, Sh3,950 in cash and a pistol with one round of ammunition.
The motorcycle used by the gang was dragged to Buruburu police station as the bodies of the suspected robbers were taken to the City Mortuary.