Sensemaking of large textual information is a cognitively intensive task. Prior work has shown the value of large 2D high-resolution-display spaces in supporting the sensemaking process, by providing a "Space to Think" in which analysts can organize information and externalize their thought process. In this paper, we investigate how analysts use 3D immersive spaces for the same task. To this end, we conducted a user study where participants were asked to solve an intelligence analysis task using an Immersive Space to Think (IST) in a 3D virtual environment using an HMD. The study results show that the concepts of Space to Think extend naturally to 3D immersive space and that the 3D space offers some additional opportunities. With immersive space, analysts i) organized in a surrounding virtual sphere, ii) exploited the depth dimension for encoding relevance, and iii) traded-off between physical navigation and occlusion.