We report a comprehensive angle-resolved photoemission spectroscopy study of the tridimensional electronic bands in the recently discovered Fe selenide superconductor (Tl,Rb)$_y$Fe$_{2-x}$Se$_2$ ($T_c=32$ K). We determined the orbital characters and the $k_z$ dependence of the low energy electronic structure by tuning the polarization and the energy of the incident photons. We observed a small 3D electron Fermi surface pocket near the Brillouin zone center and a 2D like electron Fermi surface pocket near the zone boundary. The photon energy dependence, the polarization analysis and the local-density approximation calculations suggest a significant contribution from the Se 4$p_z$ and Fe 3$d_{xy}$ orbitals to the small electron pocket. We argue that the emergence of Se 4$p_z$ states might be the cause of the different magnetic properties between Fe chalcogenides and Fe pnictides.
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