One could also use that in place of who, whom, or which, and many do;
- Agencies have informed us that he was one of those that they arrested last month.
But it's equally grammatical and colloquial English to leave the relative pronoun out completely, in this case. If it is not the object of a preposition that precedes it, whom may always be omitted.
I.e, the correct sentence is
- Agencies have informed us that he was one of those they arrested last month.
The reason is that whom is always an object; therefore, if whom is correct, there is already a subject at the beginning of the relative clause (in this case, they). And relative pronouns may always be deleted if they are not the subject.
The reason is that they're not necessary. Relative pronouns are moved to the front of the relative clause mainly to mark them as being relative clauses. But we often delete object relatives because having two noun phrases together (those they in this case) is a marker of a relative clause, and the existence of a subject guarantees there'll be two NPs together.
Plus, whom is dead in Modern English, and most people don't use it correctly. The advice I always gave my students was, simply, Don't Use Whom. There's no situation where it's required and there's always a better alternative.