The three women from Bangladesh were lodged in the home last year after they served a three-year jail term for staying in the country without visa and passport.
Last month, a 22-year-old woman from West Bengal, arrested in a prostitution case, was lodged in the same room where the three were staying.
All the four managed to escape from the home last night, police said, adding a search was on for them.
A watchwoman at the home was suspended for alleged dereliction of duty in connection with the escape of the four.
Police Commissioner K C Mahalee inspected the home and conducted an inquiry.
