We characterise abelian surfaces defined over finite fields containing no curves of genus less than or equal to $3$. Firstly, we complete and expand the characterisation of isogeny classes of abelian surfaces with no curves of genus up to $2$ initiated by the first author et al. in previous work. Secondly, we show that, for simple abelian surfaces, containing a curve of genus $3$ is equivalent to admitting a polarisation of degree $4$. Thanks to this result, we can use existing algorithms to check which isomorphism classes in the isogeny classes containing no genus $2$ curves have a polarisation of degree $4$. Thirdly, we characterise isogeny classes of abelian surfaces with no curves of genus $\leq 2$, containing no abelian surface with a polarisation of degree $4$. Finally, we describe absolutely irreducible genus $3$ curves lying on abelian surfaces containing no curves of genus less than or equal to $2$, and show that their number of rational points is far from the Serre-Weil bound.