The three detainees, aged 31, 33 and 34, attacked waitresses in a bar in the La Latina district of Madrid, stealing the mobile phone of one woman and attempting to rob cash from the till, a police spokesperson confirmed to AFP.
When police arrived at the scene, they were also confronted by the three fans.
The return match between the sides in two weeks' time will be played behind closed doors after Legia were sanctioned by UEFA for racist behaviour and fighting among the home fans in Legia's 6-0 defeat to Borussia Dortmund last month.
Legia were also fined €80,000 ($90,000) for the incidents.
Spanish authorities expect around 3,500 Legia fans to make the trip to the Santiago Bernabeu with 2,000 security personnel employed to police them.