"They had gone to graze their cattle when militants kidnapped them. So far, we have recovered four bodies with bullet marks," Lalit I Mohanty, a senior police officer said on Sunday.
"Five others are still missing."
The kidnapping took place near Basantgarh in Udhampur district 65km (40 miles) east of Jammu, the winter capital of Indian controlled Kashmir.
Over 45,000 people have been killed in Jammu and Kashmir since 1989, when a separatist revolt broke out in India's only majority Muslim state.