We report on the Doppler-free saturation spectroscopy of a molecular transition at 3.3 THz based on a quantum-cascade laser and an absorption cell in a collinear pump-probe configuration. A Lamb dip with a sub-Doppler linewidth of 170 kHz is observed for a rotational transition of HDO. We found that a certain level of external optical feedback is tolerable as long as the free spectral range of the external cavity is large compared to the width of the absorption line.