I found the reason... It's my fault...
In fact for the 74HC165, the pinMode for the DATA pin is INPUT, and for the two other 74HC595, the pinMode for the DATA pin is OUTPUT.
In my software, I initialized the pinMode in the constructors of the classes and I never changed them after...
I tried to common the Data pin for the two 74HC595, and that's work fine.
If I want to common the Data pin withe the 74HC165, I need to change the pinMode for the DATA pin, each time...
So, I will use for my 3 Shift Registers 6 wires: it's not so bad

Thanks for your help.