What if three players are "the closest investigator"?
The final decision is always down to the active investigator when you are deciding the nearest but two or more targets are an equivalent distance.

From the rules reference (page 9):


  When determining the “nearest” space or token, find the space or
  token separated by the fewest number of interconnected paths.
  
  
  If two or more spaces are tied for nearest, the active investigator
  chooses