Can three regular languages be concatenated?
Concatenation is associative:
$$
(L_1L_2)L_3 = L_1(L_2L_3) = \{w_1w_2w_3 : w_1 \in L_1, w_2 \in L_2, w_3 \in L_3\}.
$$
We denote the common value by $L_1L_2L_3$.

A class of languages closed under concatenation of two languages is also closed under concatenation of three or more languages, as a simple induction shows.

The "zero" element for concatenation is the empty language $\emptyset$, which satisfies $L\emptyset = \emptyset L = \emptyset$. The "one" element for concatenation is the language consisting of only the empty word $\{\epsilon\}$, which satisfies $L\{\epsilon\} = \{\epsilon\}L = L$.