The admission confirms what many in the quasi-independent territory have suspected, and will reinforce fears that rights guaranteed under the principle of "One Country, Two Systems" are being eroded.
The three men all work for the Mighty Current publishing house, based in Hong Kong and known for salacious titles critical of the Chinese government.
Five booksellers from the firm have disappeared since October. All have now turned up in China, drawing international criticism.
Washington called on Beijing Monday to explain the disappearances, with a State Department spokesman saying the incidents "raise serious questions about China's commitment to Hong Kong's autonomy".
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A fourth missing member of the company, Gui Minhai, a Swedish national, was paraded on Chinese state television in January, where he said he had turned himself in for a fatal driving accident 11 years ago.
Gui had failed to return to Hong Kong from a holiday in Thailand in October.
In a letter to Hong Kong police, the Interpol Guangdong Liaison Office, part of the southern Chinese province's public security department, said the three men being held "were suspected to be involved in a case relating to a person named Gui, and were involved in illegal activities on the mainland."
Enclosed was also a letter from the fifth missing bookseller, Lee Bo, Hong Kong police said.
Lee's case has sparked the strongest backlash as he was the only one of the men to have disappeared while in Hong Kong.
Lee was last seen at a book warehouse in his home city in December.
Lawmakers and activists have accused mainland authorities of snatching Lee from the city, contravening Hong Kong's laws which do not allow Chinese police to operate within the territory.