In .csv files you cannot represent 3 dimensions, because you only have rows and columns. If you want to save the EEG data as it is, you could save it as npy (see numpy.lib.format — NumPy v1.23.dev0 Manual and also numpy.save — NumPy v1.22 Manual):
import numpy as np
arr = epochs.get_data() # assuming you have an mne Epochs object
fname = "my_data.npy"
np.save(fname, arr)