"Just tell everyone we have quit. We are no more a band," one of the members of the group Pragaash told the BBC.
The three teenage members say they have received threats since they appeared at a Srinagar music event in December.
On Sunday the Muslim-majority state's grand mufti criticised them for what he said was indecent behaviour.
"When girls and young women stray from the rightful path... this kind of non-serious activity can become the first step towards our destruction," Grand Mufti Bashiruddin Ahmad said in a statement, quoted by AFP news agency.
Many others have leapt to the girls' defence, however. Support for a band which has broken with tradition has poured in from all over the state and elsewhere in India, where the story has been headline news.Abuse
Pragaash made their first live appearance at the Battle of the Bands music festival in Srinagar in December. Since then, they say they have received abuse and hate mail on their Facebook page.
Jammu and Kashmir Chief Minister Omar Abdullah has promised police will investigate the threats, and has promised the state will ensure their security.