The team 17's official forum is updated with information about that Worms 3 for the PC is the only version to support online multiplaying (thanks GameSpy). Here is the clip:

At this stage in our schedule, for consoles, no, not unless the publisher really needs it. Simply because it will take at least 6 months extra work - 3 months to implement everything (including specific console interfaces/system link-ups etc) and then at least an additional 3 months testing the online play.

We certainly never planned for GC online since it wasn't on the radar (rumours aside), PS2 was coming too late and XB live wasn't running when we designed the game (and also committed to a publisher schedule).

The PC version was obviously always planned to be online, but just doesn't have the same issues as console (i.e. we know the interface, we don't have hardware submission procedures with).