The brother of one of the dead men discovered the bodies at a family home in Ennepetal, North Rhine-Westphalia, police said on Sunday.
Police suspect the deaths of the men aged 48, 38 and 36 were an accident, although did not go into details. A doctor was only able to declare the men dead and no cause of death has been given.
The fire service measured carbon dioxide levels in the electric sauna but did not find them to be above normal.
Bild newspaper reported that the men had been at a Christmas party on Saturday night and one of the victims, named as Frank M., invited the men back to his house.