Called "There's No Place Like Home," their episode is to air Monday.
"I read the script and immediately said, 'I don't want to do it.' No," Conway laughed in a promotional video posted by TNT online Wednesday.
"Just to be with everybody on the set is TV history," noted Roberts.
"We came here to have fun and we're having a ball," Ross added.
Now in its second season, the show is a spinoff of "The Closer" and stars Mary McDonnell as a Los Angeles Police Department captain in charged of the major crimes division.