The men, who were suspected of illegal fishing, were caught in the blaze after the coastguard officers threw a "flashbang" or stun grenade into part of their boat where they were hiding.
It is believed they died of smoke inhalation, an official said, and an autopsy has been ordered.
Fourteen other fishermen survived and are being questioned by authorities.
The incident began when a coastguard vessel identified the fishing boat in South Korean waters, and ordered it to stop for inspection.