Rogge did not name the countries, but said they all pose "religious, cultural and political difficulties for women" to compete in sports.
"We are engaged now in high-reaching discussions with these countries to try and persuade them to be a little more liberal or positive about women's sport," Rogge said on the last day of the IOC session in the Danish capital. "We're engaging in quiet diplomacy with them.
"To name names will make the task of the people I talk to more difficult."
Rogge said he hopes to report "good results" for at least two of the countries soon. But he said the third was showing no signs of improvement and could face sanctions from the IOC.
Anita DeFrantz, head of the IOC women and sports commission, has previously singled out Saudi Arabia for barring women from its Olympic teams. She has suggested the Saudis should be excluded from the 2012 London Olympics unless they end their male-only policy.
Qatar sent a male-only team to the 2008 Beijing Games. Brunei's policies also have come under scrutiny. Several Arab countries that formerly excluded women _ Oman, Yemen and the United Arab Emirates, for example _ have relented and sent female athletes to Beijing.
Overall, the world of sport is leading the way when it comes to gender equality, Rogge said.
"If you look at women today in sport, we are way ahead of the political, economic and cultural world in terms of women who participate in sport," Rogge told The Associated Press. "So we're not too bad. But we'll do more."
A debate about gender equality broke out during the IOC session Friday after Mohamed Mzali of Tunisia asked the body to reconsider allowing women's boxing on the program for the 2012 London Olympics.
"I have difficulty in imagining young women, with good figures" fighting in the ring "and receive hard knocks on their breasts, which are meant to feed babies," Mzali said.
The comments drew a sharp rebuke from several members.
"Olympic women's boxing does not seem to be a high-risk sport at all, with respect to injuries," said IOC medical commission chief Arne Ljungqvist, who studied the issue before the organization approved the discipline's inclusion in August. "Women's boxing is less harmful than men's boxing."