Results of the first polarimetric observations of Centaurs (5145) Pholus and (10199) Chariklo, and new observations of (2060) Chiron are presented together with the estimates of their absolute magnitudes. Observations were carried out at the 8 m ESO Very Large Telescope in 2007-2008. They revealed noticeable negative polarization in the phase-angle range 0.5-4.4° with a minimum varying from -1% to -2.1% in the R band. All three objects show diverse polarization phase-angle behaviour, each distinctly different from that of transneptunian objects. We found evidence of surface heterogeneity for Chariklo while Chiron and Pholus appear to have rather homogeneous surfaces. Polarization phase behaviours of Chiron and Pholus are significantly different from any other Solar System bodies studied so far. A shift of negative polarization minima toward small phase angles seems to be a characteristic feature of polarization properties of Centaurs. Presence of a small amount of water frost on a dark surface is considered as one of the possible ways to explain these properties.