Convolutional neural networks (CNNs) have recently been applied to predict or model fluid dynamics. However, mechanisms of CNNs for learning fluid dynamics are still not well understood, while such understanding is highly necessary to optimize the network or to reduce trial-and-errors during the network optmization. In the present study, a CNN to predict future three-dimensional unsteady wake flow using flow fields in the past occasions is developed. Mechanisms of the developed CNN for prediction of wake flow behind a circular cylinder are investigated in two flow regimes: the three-dimensional wake transition regime and the shear-layer transition regime. Feature maps in the CNN are visualized to compare flow structures which are extracted by the CNN from flow at the two flow regimes. In both flow regimes, feature maps are found to extract similar sets of flow structures such as braid shear-layers and shedding vortices. A Fourier analysis is conducted to investigate mechanisms of the CNN for predicting wake flow in flow regimes with different wave number characteristics. It is found that a convolution layer in the CNN integrates and transports wave number information from flow to predict the dynamics. Characteristics of the CNN for transporting input information including time histories of flow variables is analyzed by assessing contributions of each flow variable and time history to feature maps in the CNN. Structural similarities between feature maps in the CNN are calculated to reveal the number of feature maps that contain similar flow structures. By reducing the number of feature maps that contain similar flow structures, it is also able to successfully reduce the number of parameters to learn in the CNN by 85% without affecting prediction performances.