I'll give plenty of forewarning about how I'm going to use the other advice--I feel simply saying "All actions have consequences" and "Imagine how it would be in the real world" ought to pretty well on its own, but I'll elaborate, just to make sure.
You might be be surprised how much you might have to beat them over the head to emphasize that, just as in the real world, people who commit consistent murder in the course of robbery have.....well, problems in their day to day lives, to say the least.
And I think it's very valid to come at it from a place of "look guys, I really like playing games with you, but running this kind of game where you kill everyone before they can even talk to you is getting old and feeling like a chore for me."
Good luck though and let us know how it turns out!