The jailed IPS officer had sought 21 days' bail to perform rituals of his father who died on Wednesday.
Additional Sessions Judge Geeta Gopi rejected the bail plea on the ground that Pandey has four other siblings who can perform the necessary rituals.
Pandey is in Sabarmati jail since August last year in connection with the fake encounter case.
Mumbai-based girl Ishrat Jahan, her friend Javed Shaikh, alias Pranesh Pillai, and two others Amjadali Rana and Zeeshan Johar were killed on June 15, 2004 on the outskirts of the city.
In the first charge sheet filed by CBI on July 3 last year, the investigating agency had termed the encounter as "fake" and "a joint operation by IB and the Gujarat Police" wherein P P Pandey, along with other Gujarat police officers D G Vanzara, Girish Singhal, N K Amin, Tarun Barot, J G Parmar and Anaju Chaudhary had been named as accused.
On February 6, CBI had also filed supplementary charge sheet and implicated former Intelligence Bureau special Director Rajinder Kumar as the conspirator and charged him with criminal conspiracy and murder.
Along with Kumar, those named in the charge sheet are serving IB officers T Mittal, M K Sinha and Rajiv Wankhede who have been booked for criminal conspiracy, wrongful confinement, kidnapping and wrongful concealment, besides under various sections of the Arms Act.