The incident that happened yesterday comes after the recent protests by students alleging collection of exorbitant fee by the Yoga and Naturopathy college at Chinna Salem near here.
There were also complaints of lack of amenities, police said.
The deceased girls have been identified as second year students, V Priyanka, T Monisha and E Saranya.
The girls had allegedly tied themselves together with a dupatta and had later jumped into a farm well near the college.
Anxiety and tension prevailed in the area as residents, students and parents gathered at the spot of the incident. They protested against the college and paid respects to the dead students.
Police added they were probing the case but declined to comment if a suicide note was found.