Peach, ZSS, and luigi.
These are my problems as diddy kong and I've been trying to master falco and I've never encountered good players as falco of these ^^^
They are trouble definately actually.
None of those characters can be chain grabbed more than once or twice for starters.
Luigi- Most of his moves out prioritize Falco's and if he does an nair while being chaingrabbed he can break out at roughly 9%. his amazing recover makes it hard at times for him to be gimped too.
Peach- Can only be chaingrabbed to about 13 or so % and can chaingrab Falco to about 30% or more with d throw leading into more combos. The one thing he has on her though is that if you do get a few chain grabs in at the edge you can spike her and gimp.
ZSS- can't be chain grabbed past 17% and has more range than falco other than that though she's not so bad. She is fairly easy to gimp and doesn't have that many kill moves. Also a good ZSS player may be able to get out of the first chain grab. I would say she is the easiest matchup of the three for Falco.
Hope this helped.