If a 3 yr old starts talking into thin air, as if someone is there, what should I do?

You do nothing at all.

Children have good imaginations and although some may play pretend, others have imaginary friends.

Howsoever, believe it or not, there is yet another explanation why children seem to be talking to "someone" because they ARE having a real conversation. You see, children have no preconceived ideas or inhabitions, nor are they very skeptical. With open eyes and their innocence, children have been known to see and play with and talk to spirits. This is not as scary as it seems because remember, children know nothing about "ghosts", therefore, they have nothing to fear. Often young children will be visited by deceased grandparents, siblings, aunts and uncles. Don't be alarmed when your child seems to be talking into thin air. Rather, ask who your child is talking with and don't be surprised if she names someone you know who has died.

My friend's mom died suddenly. So, it was a big shock and sudden loss. My friend's 4 year old daughter was very close to her grandmother and it was explained that grandma went up to heaven. She told her mommy that grandma visited her and they played with her dolls. A few months later, the little girl told her mommy that grandma had a party dress for her in her closet at home. Sure enough, they checked and the party dress was there. My friend needed to know her mom was okay and this incident helped herthrough the grief and sorrow of losing her mother.

I don't care what anyone says because I know better and am a believer.

My son pretends his dad is here sometimes. I know he knows he’s not really there. He will pretend the other room is the park and pretend they’re holdings hands and “off to the park”. (He does see his dad every weekend) 

Maybe try playing with him more. Maybe he’s not getting enough social stimulation. Although imaginary friends and imaginary play is not just normal, it’s very healthy. Kids without imagination have struggling home lives. 

Just because YOU don't see or hear them doesn't mean they aren't there.

No need to worry at all. It's just an imaginary friend. Very common, I had plenty of them growing up and I turned out just fine. 

Nothing. It's not abnormal for little kids to have imaginary friends. They grow out of it. 

Tell him to ask them for lottery numbers.