(Recasts with rebel threat to behead hostage)
MANILA, March 18 (Reuters) - The leader of an Islamist rebel group which kidnapped three Red Cross officers in the southern Philippines threatened on Wednesday to behead one of the European hostages if troops did not stop pursuing them.
Philippine marines exchanged gunfire with Abu Sayyaf rebels on Tuesday. The military said up to nine people, including three soldiers, were killed and dozens wounded but it said the fighting was not an attempt to free the hostages.
"Remember, if they pursue the operations and they come close to us and another firefight erupts, I will behead one of the European ICRC hostages," Albader Parad, the leader of the Abu Sayyaf rebels, said in a radio interview.
The International Committee of the Red Cross (ICRC) hostages -- Swiss national Andreas Notter, Italian Eugenio Vagni and Filipina Mary Jean Lacaba -- have been held on the remote southern island of Jolo since Jan. 15.
Parad has been interviewed several times by a local radio station run by a Manila religious organisation since the hostage drama began.
The Abu Sayyaf rebels, notorious for kidnappings and linked to the regional Islamist group Jemaah Islamiah, have a history of beheading captives.
In June 2001, American Guillermo Sobero was beheaded by another group of Abu Sayyaf on southern Basilan island after Manila turned down talks to release three U.S. captives.
The Red Cross raised concerns about the safety of its workers after the clashes earlier this week.
The head of the aid organisation in the Philippines said he had not been able to contact the hostages but had been in touch with Parad and was confident they were alive.
"They are alive, they are very, very tired and very sleepy," said Senator Richard Gordon, head of the Red Cross in the Philippines.
"They were running all over the place," he told foreign correspondents in Manila, adding he had a telephone conversation with Parad late on Tuesday.
The hostages have been held in the Jolo hills since they were abducted after visiting a humanitarian project inside a prison.
Military officials have said the fighting this week, near Indanan town on Jolo, erupted when the kidnappers tried to break out of the military cordon around the area.
The Abu Sayyaf has demanded the withdrawal of the military from their areas in exchange for freeing the captives.
Newspapers have said they have also demanded a ransom, with one estimate put at $1 million.
Parad said army reports he had been killed in another gunbattle on Monday were obviously wrong.
"Could a dead man still talk?" Parad said. (Reporting by Manny Mogato; Editing by Rosemarie Francisco and Paul Tait)