Explosive material and maps highlighting the Nettuno American Cemetery and Memorial were found in the flat of one of the three detained, a police official told Italian radio.
"We have seized some TNT and a gun, this is the only factual evidence," said Captain Florimondo Forleo.
The Egyptians, aged 30 to 45, were arrested on Friday but have not been formally charged.
Police said they had been living in Italy and had legal working papers.
One of the suspects was reportedly intercepted while on board a fishing boat.
The others were arrested in a flat in Anzio, which is 52 kilometres (35 miles) down the coast from Rome.
Fishing claims
Italian media quoted the men as denying the allegations, one saying they had used the explosives for fishing.
At least two of the suspects were fishermen.
Mr Forleo did not rule out the possibility that the three suspects had intended to use the explosives to catch fish.
He also revealed that the arrests were made as part of a monitoring operation against foreigners.
"In view of the current international situation, we have activated a monitoring activity of the environment of foreign citizens, particularly those from outside the EU," Mr Forleo said.
One of the maps seized by the authorities reportedly had Anzio's US War Cemetery marked with a felt-tipped pen, while others had highlighted McDonald's fast-food outlets.
"They were preparing a symbolic attack against the American cemetery," a police official said, adding that police suspected the men were Islamic extremists.
'Al-Qaeda hub'
Italy has made more than 40 arrests of terror suspects in the last year, but prosecutors have had only mixed success in securing convictions.
Four Tunisians suspected of al-Qaeda membership received five year sentences earlier this year in Italy's first conviction of terror suspects since 11 September.
A group of Moroccans arrested on suspicion of plotting to poison Rome's water network with a potentially lethal chemical compound were later freed.
US authorities claim that a mosque and Islamic centre in Milan could be the financial centre for al-Qaeda's European operation.