Yebei was a defence witness in the case involving Kenya's deputy president at the International Criminal Court (ICC).
Deputy President William Ruto is facing charges at the court in The Hague of fomenting ethnic violence after Kenya's 2007 election. Prosecutors at the court dropped similar charges against President Uhuru Kenyatta last month.
Yebei, who Ruto's lawyer called a "critical witness to the defence", was found dead last week.
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Public prosecutions director Keriako Tobiko asked the director of criminal investigations to conduct a "speedy and thorough investigation" into Yebei's murder, a letter dated Jan. 6 on the Twitter feed of Tobiko's office said.
The ICC voiced "deep regret" at the death of Yebei, who it said was allegedly abducted on Dec. 28 and found dead on Jan. 2.
"It stands ready to provide the local authorities with any assistance, if required, in their investigations," the ICC said in a statement published on its website.
Kenyatta's case collapsed after prosecutors said they did not have sufficient evidence. His case had struggled in the court, with prosecutors saying star witnesses were intimidated into withdrawing testimony. Kenyatta's lawyers denied that.
Yebei's role in Ruto's planned defence was not widely known before his death. Ruto's lawyer Karim Khan wrote in a letter dated Jan. 5 that the "the news of his apparent abduction and murder is both shocking to us and a matter of grave concern".
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In the letter seen by Reuters, Khan said Yebei was a "critical witness to the defence" and had been referred to the ICC's victims and witness unit because of the risk "we believe he faced".
It its statement, the ICC said it had offered Yebei security measures, including safe residency in a new location, but added that he returned to Eldoret, the region of western Kenya where he was found dead.
"The ICC remains strongly committed to the safety, security and well-being of all witnesses and relies on cooperation from states parties for the adequate protection of witnesses," the court said.