The five are members of an elite unit of the National Security Committee.
The announcement comes one day after Interior Minister Baurzhan Mukhamedjanov said five suspects had confessed the murder. He added that the police are also holding a sixth person, who is the suspected of masterminding the killing.
The body of Sarsenbaev, the co-chair of the Naghyz Ak Zhol (True Bright Path) party, was found along with those of his bodyguard and a driver on the outskirts of Almaty on 13 February. They had all been shot.
Opposition figures suspect the authorities had a role in the killing. The Kazakh government denies this.