Any CAD software with support of 3ds Max formats (.max, .3ds etc.) should be capable of dxf to 3ds conversion, considering DXF is one of the most common CAD formats. Some of the programs that can be used to convert dxf to 3ds, or at least for some type of export, are listed below.
Open DXF file Open 3DS fileA CAD 3D geometry translation software
An FBX convertor utility from Autodesk
A command line converter for 3D format
A free online 3D model conversion service
A 3D CAD translation software