Two other crew members of "The Berserk" were rescued.
Sea Shepherd's "Steve Irwin" crew were forced to give up the hunt for the yacht because it was running low on fuel and was out of position relative to where it was last charted, The Foreigner reported.
All contact with the vessel was lost Tuesday night during the worst blizzard of the season, the online Norwegian newspaper said.
Missing are Norwegians Tom Gisle Bellika, 36, and Robert Skaanes, 34, and South African Leonard J. Banks, 32.
A statement by Rescue Coordination Center New Zealand said the search by other ships in the area would continue "but there are grave concerns for the missing vessel and crew."
"Water temperature in the area is near-freezing, with ice forming, putting survival times at mere minutes," the center said.
The yacht's captain, Jarle Andhoy, and crew member Samuel Massie were rescued earlier and were being taken to Christchurch, New Zealand.
"They are well, considering the circumstances, and are likely to be greeted at the airport by officials from the Norwegian Ministry of Foreign Affairs," Matt Vance, Antarctica New Zealand's communications adviser, said.