The alarm was raised after the skiers, reportedly a British couple, failed to return to their hotel in the resort of Courmayeur on Sunday night.
They are thought to have been skiing off-piste in an area known as the Spanish Couloir when they were hit by an avalanche. 2 French skiers are also feared dead.
Italian alpine rescue workers found the bodies of three of the skiers on Monday morning. They are still searching for the fourth.
It was a bad weekend for fatalities in the mountains of Italy – according to the country’s Alpine Rescue Service, eight people lost their lives as a result of avalanches.
Six died in the region of Val d’Aosta, on the French border, while another skier died in Lombardy and another in the South Tyrol region of Italy.