You could also also make the outside by knitting or sewing a tube if you wanted. I crocheted them as I thought knitting may be too stretchy and sewn ones would take some refining before they stopped being all wrinkly and untidy looking.
Borromean rings are a knot (in the mathematical sense) where the three rings cannot be separated even though no two rings are linked. Also the space in the centre is in the shape of a Reuleaux triangle - a shape of constant diameter but inconstant radius.
Step 1: Gather tools and materials.
a crochet hook (2.5mm),
a pair of scissors,
a large-eyed needle,
A different weight of yarn can be used as long as it isn't too chunky, but you'll need to adjust your hook size.
I used a different colour for each of the rings, but you could do them all the same, or make each one striped.