Does Paul mean earlier in that very letter (seems unlikely he would feel the need to say that) or is it a previous letter to the Ephesians that we do not have, or something else?
Ellicott notes this about Eph 3:3 -
As I wrote afore in few words.—The reference is to the brief notice in Ephesians 1:10-14, and to the further explanation in Ephesians 2:11-22. Hence, in English, the idea would be more clearly expressed by “I have written above.” St. Paul refers them back to these passages as embodying his “understanding,” or conception, of the mystery thus revealed especially to him. The reference is one of those parenthetical remarks, which, to those remembering how St. Paul’s Epistles were dictated, almost irresistibly suggest insertion on the reading over of the Epistle.
Specifically, Paul is referring to the subject raised in the first part of the verse, namely:
How that by revelation he made known unto me the mystery; (as I wrote afore in few words)
Thus, Paul refers back to his earlier explanation. Note the comments of the Cambridge commentary which are similar:
as I wrote afore The reference is to previous passages in this Epistle; Ephesians 1:9, &c., Ephesians 2:11, &c. English idiom would say, as I have written afore.