One of the women who died in a copycat double suicide pact contacted police to complain she was being harassed, it has emerged.
The woman, who has not been named, fled to a flat in Putney, south-west London, owned by a not-for-profit trust that helps vulnerable women.
She and another woman - both reported to have been prostitutes - apparently gassed themselves after sealing doors and windows at the property.
Neighbours said one of the women appeared scared and was reluctant to speak to people as she kept her curtains drawn night and day. One said she moved to the bedsit about five months ago from Roehampton to "escape someone" and because of people taking drugs near her home.
Officials at the Independent Police Complaints Commission (IPCC) launched an investigation on Friday night into the reaction of police to her complaints. They received a referral from Metropolitan Police detectives after they found records of her contacting the force on a database, it is understood.
The bodies of the two women, both believed to be in their 20s, were found at the second-storey flat in Norman Court, Lower Richmond Road, on Thursday morning. Investigators believe they used a toxic combination of chemicals to gas themselves.
Emergency service workers donned breathing apparatus and protective equipment to enter the flat and examine the scene.
Last week the bodies of Joanne Lee, 34, of Essex, and Stephen Lumb, 35, of West Yorkshire, were found in a car in Braintree, Essex.
It has been reported that the Met had received a letter on Thursday warning of the suicides.
A police source said: "There was a letter, it was acted on by the director of professional standards."