Police suspect that smoke from burning charcoal, which the family is believed to have kept at the house last night to warm the house, could have choked them.
The deceased are identified as Bhagwan Dhondiba Ghare (55), Mangala Bhagwan Ghare (47) and their daughter Paurnima Bhagwan Ghare (23), police said.
Their son Dheeraj had gone to sleep in other house owned by the family, police said, adding that bodies are sent for postmortem.