They are linked to rebel groups, the Islamic State of Iraq and Sham (ISIS) in the Middle East and al-Qaeda-linked Abu Sayyaf in southern Philippines, police said.
With the latest arrests by the Counter-Terrorism Unit, 15 members of the group have been detained since April 28 in various parts of the country.
Deputy Inspector-General of Police Mohd Bakri Zinin said the three men aged 29, 30 and 31 were detained in a special operation at a house in Sandakan on the east coast of Sabah state yesterday.
Bakri said the suspect sneaked back into Sabah on June 11 and hid in a house in Sandakan.
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"The navy officer, who was based in Sandakan, is believed to have harboured the suspect along with another man. All three are being detained under the Security Offences (Special Measures) Act (Sosma)," he said.
The Star daily quoting unnamed sources said the militants were trained in southern Philippines, had slipped into Sabah and were planning to fly to Syria and Iraq, where the ISIS militant group is fighting to topple the existing regime.
"After the attacks, they were planning to launch suicide bombings in Iraq," the sources said.
They said that although 15 militants had been arrested so far, no weapons had been found.