The heads were left along with a note near the town of Los Reyes, Michoacan state prosecutors said. They wouldn't reveal the content of the message.
The heads belong to males and that all had bullet wounds, prosecutors said.
Self-defense squads have been forming in recent months in Michoacan by people who say they are fighting violence, kidnappings and extortions carried out by drug cartels.
Last month, police found the bodies of two men hanging from a tree in the town of Los Reyes along with a message threatening the community's self-defense group.
In the northern state of Nuevo Leon, two masked gunmen opened fire inside a bar Thursday, killing four people and wounding another two, authorities said.
The assailants arrived in a taxi to the bar in Santa Catarina, a suburb of the city of Monterrey, went inside and opened fire and then left in the same taxi, said a Nuevo Leon state official who spoke on condition of anonymity because he was not authorized to discuss the case.
Nuevo Leon state, which is across the border from Texas, has seen a wave of violence caused by the fighting between the Zetas and Gulf drug cartels since the former allies split in 2010.
Associated Press writer Porfirio Ibarra in Monterrey contributed to this report.