Try applying the proper SAS format, and then export to CSV instead of directly into Excel format:
data a;
dt = datetime();
time = timepart(dt);
seconds = second(time);
format dt datetime22.3 time time12.3 seconds 8.3;
run;
proc export data=a outfile="c:\temp\dt.xlsx"
dbms=xlsx replace;
run;
proc export data=a outfile="c:\temp\dt.csv"
dbms=csv replace;
run;
Output CSV:
dt,time,seconds
19FEB2015:20:08:36.716,20:08:36.716,36.716
I found that CSV retains the precision, while sometimes the Excel format loses something in translation. But others might have a good workaround for that.
Chris