The phrase you are asking about is in Act I, scene 1 of Much Ado About Nothing. Leonato, the governor of Messina, reads in a letter that Don Pedro is coming to visit Messina that night. The messenger who brought him the letter confirms what Leonato says and states, "He is very near by this. He was not three leagues off when I left him."
A league is a measure of distance. On land, it is usually considered to be three miles. So if Don Pedro is traveling by land and is "not three leagues off," then he is roughly nine miles from Messina. If he is traveling by sea, however, he is slightly farther away. A nautical mile is about 5.6km. Since there are 1.6 kilometers in a mile, and a league is three nautical miles, then "not three leagues off" by sea would be about 14 miles. I'm not a math whiz, so you might want to check my multiplication!
I hope this helps you.