Rai had moved an application in the court last month seeking to become an approver and sought pardon. CBI, too, said that they have no objection to making Rai an approver.
Meanwhile, the lawyers of other accused objected to Rai's application to turn an approver. One of the lawyers also said that the court should satisfy itself that Rai is disclosing all the facts in the case.
Expressing his desire to turn an approver, Rai had said he wanted to "disclose all truths" as he had taken part in Sheena's murder.
Rai had written a two-page letter to the court last month seeking pardon in the case while stating that he wants to reveal everything.
Rai was the first accused to be arrested in the case in August 2015, taking the lid off the murder, after he was picked up in connection with an arms case.
Last year, Rai had recorded his confessional statement before the magistrate under Section 164 of CrPC, which, unlike the police statement, is admissible in the trial.
Sheena's body was found in a forest in Raigad. The crime, which came to light in August last year, is allegedly linked to certain financial dealings.
The trio were arrested in August last year while Indrani's husband and former media baron Peter Mukerjea was held in November. According to CBI, Peter was part of the murder conspiracy.
While Peter and Khanna are lodged in Arthur Road prison, Indrani (43) is in Byculla womens' jail in Mumbai.
