Time for a lesson in how fans work...
A three pin fan is controlled using variable voltage. This basically means that it receives a voltage between 0V and 12 V. The higher that voltage, the faster it'll spin. To deliver this voltage, these motors only need two wires (black and blue, + and -, positive and negative (ground)). The third pin is used by the motherboard to get a reading from RPM sensor inside the fan, so it knows how fast the fan is spinning.
A four pin fan is controlled using pulse width modulation. This means that the fan motor is controlled by a pulsing signal that switches between 12V and 0 V very quickly. The longer this signal is 'on' vs. being 'off', the faster the motor will spin. To deliver this functionality, the motor need three pins: two for power (constant 12V), and one for the PWM high frequency controlling signal. The reason they have four wires is, again, because there is on wire that is connected to an RPM sensor.
You can find a more in-depth explanation of this, complete with a little diagram, in a post I made here.
The pin that's missing is the RPM sensing pin. Reason for this is that no two fans will ever spin at the exact same speed when driven by the same PWM signal. In order to avoid shortages and other nonsense signals on the RPM-sensing line, we only connect one of the fans to the motherboard's sensor pin. That way, the motherboard only reads one fan, and we assume the other one is running within margin of error.
Source for all this: two courses in electronic engineering.