According to International Christian Concern, brothers Wasfy, Sabry and Fahmy had travelled to Libya from Egypt to find construction work.
Wasfy, 37, and Fahmy, 27, received a phone call asking for a quote on a roofing job earlier this month. They left to meet the supposed client and Sabry never saw his brothers again.
The two brothers leave their wives.
Their bodies were found in the Wadi Kiam area in western Libya, with an autopsy showing they'd died from gunshot wounds to the head.
The hands of both bodies were wearing black gloves with Islamic phrases on them, which have been linked to Islamic State.
A funeral has been held at Mar Girgis Coptic Orthodox Church in Awald Ali village, back in Egypt.
It's priest, Fr Sulaiman Botros, told International Christian Concern: "They were targeted and killed because they are Christians. They kept the faith and refused to deny the Lord Jesus Christ.
"They are our Church's Martyrs. We are proud of them. They aren't dead but have been saved by God in Heaven.
They have entered into glory and there are in a better place than all of us. They've got their crown in heaven and they are with Jesus now, no more pain for them, only joy and peace
"We pray for their family to be strengthened by the power of The Holy Spirit and the peace of Our Lord Jesus Christ. May God comfort all of them."
International Christian Concern has also reported that dozens of Coptic Christians are stuck in the Libyan area of Misrata unable to return to Egypt because they might be killed by Islamic State en-route.
One of the copts, identified as Mina F, told the advocacy charity: "None of us can travel to Egypt by the road because ISIS have controlled Sirte and they can take us captive during our trip by microbus.
"There isn't any flight from Misrata to Egypt, the only flight is from Tripoli only and the way from Misrata to Tripoli is very hazardous also.
"After the killing of the two Christian brothers, we are afraid to go out to our work.
"There is a situation of fear among all of us. Pray for us."