Police investigating the deaths are examining the possible involvement of a sect known as the White Brotherhood.
The girls, aged 11, 12 and 14, left a suicide note but gave no reason for jumping to their deaths. A police spokesman, interviewed by Russia's NTV television news, gave the first names of the girls as Tanya and Masha, who died when they struck a protruding ledge, and Alyona, who died some hours later in hospital.
The schoolgirls, close friends who lived in the same apartment building, said in their suicide note that they wanted to be buried together in the same coffin.
While their parents said they were unaware of any connections with religious sects, police investigators were reported by television and radio stations to suspect the White Brotherhood, named after the white robes worn by its members. The organisation's leaders were imprisoned in Kiev, capital of the Ukraine, three years ago this week.
The cult was founded by Maria Tsvigun, a former official in the Komsomol (Young Communist League) who at one time lectured factory workers on "scientific socialism".
Following the collapse of communism and the dismantling of the Soviet Union Ms. Tsvigun changed her name to "Maria Devi Christos" and attracted thousands of followers with the promise of immunity - for payment - from an imminent Armageddon which was to spread outwards from St Sophia's Cathedral in Kiev and go on to engulf the world.
Ms. Tsvigun was arrested in Kiev as her supporters gathered in expectation of the end of the world after police saw young people prostrating themselves in front of her in a city centre street. Thousands of parents of children who had been lured into the sect had also gathered in the city in the hope that they might make contact with their loved ones.
On February 6th, 1996, she and her associates received sentences ranging from four to seven years for "organising public disorder and civil disobedience" - a charge used in Soviet times against mainstream religious organisations.
Other members of the White Brotherhood vowed to keep the organisation alive while its leaders were in prison.
AFP news agency reported yesterday that a self-help group, the Organisation for the Rescue of Moscow's Youth, said that some 13,000 sects and religious movements had been registered in Russia since a law on freedom of religion was adopted after the fall of the Soviet Union in 1991.
According to the organisation, sect members in Russia numbered in the millions and some openly recruited members at universities and schools.
Russia's law on religions officially recognises only the Russian Orthodox Church, Islam and Buddhism as holding the country's "traditional" beliefs.