The trio are accused of trying to rob a vehicle transferring money that was situated just outside Bremen in northern Germany last June.
However German police failed to trace them on home soil and issued an international arrest warrant.
According to Swedish police sources speaking to regional newspaper Kvällsposten, the group went into hiding in a house in southern Sweden in December.
Officers have since linked fingerprints found in a cottage to the missing alleged criminals, however the group have now disappeared from the cottage.
Swedish police are continuing to search for the three suspects, who are understood to be two men and one woman.
All of the accused are believed to be members of Rote Armee Fraktion (RAF), a gang of far-left criminals classified as terrorists by the German government and the EU.
The militant group was most active in the late 1970s and has carried out a range of deadly shootings as well as bombings, kidnappings and bank robberies.