Multi-view Multi-instance Multi-label Learning (M3L) deals with complex objects encompassing diverse instances, represented with different feature views, and annotated with multiple labels. Existing M3L solutions only partially explore the inter or intra relations between objects (or bags), instances, and labels, which can convey important contextual information for M3L. As such, they may have a compromised performance.In this paper, we propose a collaborative matrix factorization based solution called M3Lcmf. M3Lcmf first uses a heterogeneous network composed of nodes of bags, instances, and labels, to encode different types of relations via multiple relational data matrices. To preserve the intrinsic structure of the data matrices, M3Lcmf collaboratively factorizes them into low-rank matrices, explores the latent relationships between bags, instances, and labels, and selectively merges the data matrices. An aggregation scheme is further introduced to aggregate the instance-level labels into bag-level and to guide the factorization. An empirical study on benchmark datasets show that M3Lcmf outperforms other related competitive solutions both in the instance-level and bag-level prediction.