They could face fines or up to two years in prison, Police spokesman Bjoerke Kierkegaard said.
He added that all three are members of the Arab Struggle Movement for the Liberation of Ahwaz, which Tehran has blamed for the attack in the Iranian city of Ahvaz.
On September 22, a group of gunmen opened fire during a military parade in the Khuzestan province of Iran, killing 25 people, including one journalist and, reportedly, over a dozen Islamic Revolutionary Guards Corps servicemen. The Arab Struggle Movement for the Liberation of Ahwaz has reportedly claimed responsibility for the attack.
Following the incident, Iranian Supreme Leader Ayatollah Ali Khamenei accused the US-backed states of the region of being responsible for the terrorist attack.