A brother of one those detained said he and his fellow demonstrators planned to hold protests once a week before the police station in the capital until the trio are released.
"We will not stop until these people are released," said Husain Abd al-Imam.
Police detained Ali Abd al-Imam, Muhammad al-Musawi and Husain Yusuf last month for running a website viewed as hostile to the government.
They are being held at Hura police station on a 15-day detention order.
A civil rights activist, Abd al-Hadi al-Khawajah, took part in the demonstration, saying: "If we don't protest, such detentions will continue."
Anti-riot police guarded the police station, but did not intervene and the demonstration ended peacefully after 30 minutes.
Ali Abd al-Imam is the founder-manager of the website, www.bahrainonline.org, which functions as an Arabic-language forum for views on a range of subjects. It has posted reports and photos of demonstrations in Bahrain.
The government banned the site in 2002, but it remains accessible to people outside the country. Inside Bahrain, people can reach it through foreign-based internet service providers.
The government has accused the three detainees of operating an illegal website and of using illegal methods to access it.
Their lawyer said the three have been accused of criticising the royal family, inciting hatred of the government, spreading false news and rumours that could destabilise the nation, and violating the press code.