A 55-year-old woman from the northern village of Pouembout who was taken to hospital with haemorrhaging became the latest victim of the outbreak, which has killed two other women, aged 55 and 36, since December.
The French island territory has registered some 8,250 dengue cases since September 2012.
The WHO warned in January that the mosquito-borne disease had global "epidemic potential", saying it had registered a 30-fold increase in the last 50 years to two million cases annually, due to climate change and increased travel.
Dengue causes high fever, headaches, itching and joint pains. At an advanced stage it can lead to haemorrhaging and death.