Arrest warrants had been issued for six officers of the National Guard, army troops under Interior Ministry command who guard government institutions and senior officials. The prosecutor general's office said. Tensions have been mounting for months between Albania's conservative government and the main opposition Socialist Party.
They rose sharply last week when deputy prime minister Ilir Meta resigned after a private TV station aired a video that it said showed him asking a colleague to influence the awarding of a contract to build a power station.
On Friday night protesters in the capital, Tirana, overturned and burned police vehicles and clashed with officers who used tear gas, rubber bullets and water cannon. Two men were fatally shot in the chest and another died of a wound to the head.
The United States and the European Union have both appealed for calm.
Prime Minister Sali Berisha said the men had been killed by "bandits" within the protesters and accused the Socialist Party leader of attempting a coup.
"I am here today to tell that you were the one who organised the anti-constitutional putsch... for which you will have to face the consequences of the law," Mr Berisha said at a news conference.
He said the demonstrators included "gangs of criminals, bandits, traffickers and terrorists" trying to overthrow the government with a "Tunisian-style" demonstration – referring to the rioting that drove out Tunisia's president this month.
Socialist leader Edi Rama accused Mr Berisha of being the "political orchestrator" of the deaths and called for the arrest of interior minister Lulzim Basha.
The Socialists have accused Mr Berisha's Democratic Party of rigging Albania's 2009 election, in which it was declared the winner by a narrow margin.
The next election is scheduled in 2013, but for months the opposition has been calling for new polls to be held sooner.
The demonstration in the centre of Tirana began with about 20,000 people, but organisers claimed it swelled to up to 300,000. The protest quickly turned violent, with people pelting police with banners, umbrellas, eggs and stones.
Police said 113 people were arrested.