One of my friends had this happen for fallout 4, the issue was the game never created the folder in my documents, so it didnt have a proper place to put saves as well as proper ini files ect. not sure if that is related to JC3 at all or if it even creates a my doc folder for it.
edit-
guess i should include how he fixed his fallout 4, i set him my whole my doc folder for fallout 4 so it had all the ini files and file structure then it worked fine for him.
1. Go to Library, Games, Right click on Just Cause 3 and go to properties
2. Go to local files
3. Browse local files
4. In the folder that just opened, Right click on JustCause3.exe and click properties
5. Go to the tab called Compatability
6. At the bottom, check the box that says "Run this program as an administrator"
7. Click apply and Voila
8. Enjoy
A possibly better solution, which I've done for a very long time with Windows 7 (and intend to do with Windows 10) is to not have the Steam folder in the Programs folder, but have it at the root level instead, at:
C:\Steam\
instead of
C:\Program Files\Steam
Doing this seems to have saved me a lot of annoying trouble over the years. I'm not sure if there are any downsides to this.