In this study, we introduce a physical model of a three-dimensional (3D) guided wave sensor called 3D-CMUT, which is based on capacitive micro-machined ultrasonic transducers (CMUTs). This 3D-CMUT sensor is designed to effectively and simultaneously obtain 3D vibration information about ultrasonic guided waves in the out-of-plane (z-direction) and in-plane (x and y-directions). The basic unit of the 3D-CMUT is much smaller than the wavelength of the guided waves and consists of two orthogonal comb-like CMUT cells and one piston-type CMUT cell. These cells are used to sense displacement signals in the x, y, and z-directions. To ensure proper functioning of the 3D-CMUT unit, the resonant frequencies of the three composed cells are set to be identical by adjusting the microstructural parameters appropriately. Moreover, the same sensitivity in the x, y, and z-directions is theoretically achieved by tuning the amplification parameters in the external circuit. We establish a transient analysis model of the 3D-CMUT using COMSOL finite element simulation software to confirm its ability to sense multimode ultrasonic guided waves, including A0, S0, and SH0 modes. Additionally, we simulate the ball drop impact acoustic emission signal on a plate to demonstrate that the 3D-CMUT can not only utilize in-plane information for positioning but also out-of-plane information. The proposed 3D-CMUT holds significant potential for applications in the field of structural health monitoring (SHM).