The remains of two male and one female bird were discovered at the St Kilda breakwater Little Penguin colony just before Christmas.
One of the male penguins also had its left flipper slashed with a knife and one was hit so hard its back was broken.
Department of Sustainability and Environment (DSE) wildlife officer Samantha Moore said a knife found near the scene was being fingerprinted.
"This was an appalling act of cruelty upon these flightless birds who had no means of escape," she said.
She appealed for anyone fishing or walking near the St Kilda breakwater area around December 21 who noticed someone acting suspiciously, to come forward.
Parks Victoria acting chief ranger Angeline Tew said the deaths of the protected birds had shocked wildlife authorities and the local community.
"This area is jointly managed as a Wildlife Management Co-operative Area and our committee members are very disturbed that someone could act with such disregard for the welfare of the colony," she said.
"These actions are totally deplorable and we will continue to work closely with DSE investigators to identify the culprits and bring them to justice."
About 1200 little penguins live at the St Kilda breakwater.