The New York Times documents that celebrity deaths do not always happen in threes.
I think this is one of those places where people stretch reality to make it fit a myth. Famous people die all the time. Every time two really famous people die within a few days of each other, someone seizes on the next celebrity of any magnitude and says, "That's the third!" But since the time span and the level of celebrity are both undefined, you could make this "rule" work for two celebrities, four celebrities, five celebrities…