Sotomayor is traveling -- she was in California on Monday judging moot court finals at the University of California Irvine Law School.
Scalia, Alito and Thomas have all skipped past State of the Union address and objected to attending the speech.
Scalia skipped the address for the 17th year in a row. Last year he called the State of the Union a "childish spectacle."
Alito in 2010 whispered "not true" when Obama criticized the Supreme Court's Citizen's United v. FEC decision, and the justice later he did not enjoy sitting "like the proverbial potted plant" during the speech.
Thomas said in 2012 that he does not attend the address because "it has become so partisan and it's very uncomfortable for a judge to sit there."