Police spokesman Daouda Diop said Wednesday that authorities had detained a woman and two men some 40 miles (70 kilometers) north of Dakar.
Diop says the three may have stolen two phones and some money from the cyclist and were caught while trying to flee.
Vandenbroucke was on holiday in Senegal when he was found dead in his room Monday. He was 34. Belgian cycling officials said his death was caused by a lung embolism.
Vandenbroucke won the weeklong Paris-Nice spring race in 1998 and the Liege-Bastogne-Liege classic a year later before his career was marred by a doping scandal.
(This version CORRECTS that Vandenbroucke found dead Monday, not Tuesday.)