Did you have the coolsculpting cool fit applicator used? 3 weeks is too soon to really tell the full effect. I would wait at least another month and compare your photos before and after and return to your treating physician for examination.
It is early in the process to be concerned. However, the question to verify with your treating physician is which applicator was used and the technique that performed. The coolfit applicator should have been used. Patient selection for coolsculpting on thighs are keys, and expertise is important.
Coolsculpting typically has minimal improvement the first month so don't worry just yet. You may have some residual bruising or swelling. Coolsculpting does not tighten skin but I would be surprised if you have already enough fat loss to cause skin sagging at 3 weeks. Of course your skin will have some elasticity depending on your age and genetics so I typically don't see a lot of skin sag after a single treatment.
Coolsculpting can remove fat but will not necessarilyshrink the skin. How much the skin will shrink depends on many factors including your age. Medial thighs can be tricky and there is a possibility of discoloration which is likely temporary. You can't do much now except give it a few months and see how it looks.
You should have before and after photos for comparison. If there has a loss of fat in the treatment areas it should be easily seen. Also you should have current weight.