Porque os assassinos do começo do filme estavam posando como seus homens. Da sinopse da trama na Wikipedia :
In a roadhouse on the way to Sweetwater, where he also encounters Mrs McBain, Harmonica informs Cheyenne that the three gunfighters appeared to be posing as Cheyenne's men.
Aqui está o diálogo relevante, fornecido pelo WikiQuote :
Harmonica: I saw three of these dusters a short time ago. They were waiting for a train. Inside the dusters there were three men.
Cheyenne: So?
Harmonica: Inside the men there were three bullets.
Cheyenne: That's a crazy story, Harmonica, for two reasons. One, nobody around these part's got the guts to wear those dusters except Cheyenne's men. Two, Cheyenne's men don't get killed. That surprise you?
No passado, Frank enquadrou Cheyenne em vários de seus crimes e até plantou evidências apontando para ele na casa dos McBain.