I have already delivered 3 changesets for given work item. Anyway I believe that it should be one changeset only. How can I merge these changesets into one changeset?
If those change sets are already delivered to the stream, you can't.
If by "deliver", you mean "change set associated to a work item, but not yet delivered to the stream, then you can move files and directories from two of those change sets to the third, and then "discard" those two (now empty) change sets.
That means those change sets aren't "completed" (they haven't yet a green tick as an overlow on their triangle-shaped icon).
A change set gets completed when it is part of a baseline, or delivered to a stream.