they all make sense in that sentence apart from 'for', they just have different meanings

air pollution is a problem that every person should be concerned with

air pollution is a problem that every person should be concerned by

air pollution is a problem that every person should be concerned about 

they all have a similar enough meaning that they (for the majority of the time) can be used interchangeably 

I m not expert but i m gonna try to help  .. all to do to make it easy is transforming the sentence to become : every person is concerned  ( by / with / about / for ) air pollution .. i think things becomes a little clear now ,, the correct answer is with