Question about Foreign key constraint causes "costly sequential scans"?

Greetings,

I have a question about foreign key cost. I have two tables A and B.
A has 300,000 records, B has 3 records.

A (col1, col2, col3... ... colN)

B (colB1 primary key, colB2)

I'd like to setup foreign key constraint for A.col3, as the following:
CONSTRAINT Aclo3_fk FOREIGN KEY (col3) REFERENCES B(colB1)

But I got a warning msg from postgresql as:

foreign key constraint "Aclo3_fk" will require costly sequential scans

Some comments about it?

Thanks a lot!
Emi