Following the scuffle, another member of the public was also shot dead, with another left nursing injuries.
The clarification follows a Cabinet approval for the merger of 42 state corporations into 20 entities.
It was President Ruto's first Cabinet meeting of the year held at Kakamega State Lounge.
Kilimani, where they were arrested, has been a hotbed of criminal enterprises.
This was the first major statement since the positive case was recorded on Monday, January 20.
The DCI was forced to address the matter after concerns from members of the public.
Many state corporations have struggled to meet their contractual and statutory obligations leading to an accumulation of pending bills.
The decision comes after months of uproar over the travel system.
While venting their frustrations, the traders urged the county government to intervene.
The Inspector General of Police had skipped three sessions in which his presence was crucial.