The fire, reported by a neighbor just before 2 a.m., left little behind of the family's home on a quiet street in Carmel, located in Putnam County, about 60 miles north of New York City.
Officials identified the captain as Thomas Sullivan, of the Larchmont Police Department. He was a former New York Police officer assigned to the Bronx, who left the city for the force in comparatively tranquil suburbs two decades ago because he felt he could make a bigger difference in a smaller community.
His daughters, Mairead and Meaghan, were students at Carmel High School. Mairead was a freshman and Meaghan a senior. Their ages were not immediately available. Their mother, Donna Sullivan, also perished in the fire.
"The school community is devastated," said the district's superintendent, James Ryan. "We are working together in this very difficult time to offer supports to students and staff."
Only a 20-year-old son, Thomas Sullivan Jr., escaped the flames. He was being treated for smoke inhalation, Carmel police said.
The blaze was so intense that it melted the siding of two nearby homes and prevented firefighters from entering, said Carmel Police Chief Michael Johnson. It took firefighters from several towns three hours to extinguish the flames. Video of the fire, posted on the Web site of the Journal News, showed the home being nearly entirely consumed by a fireball.
"There's nothing standing but two garage doors," said Lorraine Girolamo who lives two doors down the street. She said she didn't know the Sullivans well, but saw them daily and would wave hello. She said they moved in about 11 years ago when the residential development opened.
The cause of the fire wasn't yet known. The Carmel Police Department said in a statement that it expected "a lengthy investigation and recovery effort in order to ascertain the origin of the fire and the recovery of potential victims."
Larchmont Police Sgt. Ronald Knudson said Sullivan would be missed.
"He was a dedicated law enforcement individual, an extremely great family man," he told the Journal News. "His life revolved around his family and his job."