Rita Fossaceca, 51, died and three other Italians were injured in an armed robbery on Saturday in the village of Mijomboni, which is situated less than 30 kilometres (20 miles) inland from the resorts of Malindi and Watamu.
The radiologist from Novara, in northern Italy, was in Kenya volunteering for the For Life charity organization, which is in the process of establishing an orphanage and a clinic in Mijomboni and also works to promote alternatives to coming-of-age ceremonies involving female genital mutilation.
Police spokesman Charles Owino said three people had been arrested over the murder, Ansa reported on Monday.
The injured Italians were reported to have been Fossaceca's parents and another relative. The doctor was reportedly shot dead after trying to defend her mother from a machete attack.
Fossaceca had been in Kenya for only three weeks on her latest trip. In her final post on the NGO's site, she described buying a cow for the orphanage.
"She is pregnant and in three months we will have a calf and finally we will have milk for the village," she wrote.
The murder is another blow to Kenya's tourist industry which has been hit hard in recent years by the fallout from deadly attacks mounted by Islamists based in neighbouring Somalia.
Kenyan officials had been hoping for a boost to visitor numbers in the aftermath of last week's visit by Pope Francis, which passed without incident.