Why does Gandalf have the third elf ring?

[NightKnight]

In answer to Silmiel's question: The elves had probably grown attached to the objects they had held for almost, what is it, over 500 years.

Small correction: They had had them for around 4500 years.

As for the question, why not take them along? What were they supposed to do, just leave them in ME? They didn't have a reason not to bring them across the sea.