He has made this claim in his confessional statement, which was unsealed by the special CBI court on Friday following a Bombay High Court directive on Thursday.
Rai was the first 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.
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In his confession recorded last year by a magistrate, Rai alleged that Indrani gave him a parcel and three months' salary and asked him to leave soon after Sheena's murder in 2012.
"However, when I opened the parcel it contained a crude weapon (gun)," he said.
He said that he tried to dispose it of twice but could not muster the courage and was arrested when he tried to get rid of it for the third time.
He said that he went to dispose it of but tried to flee the spot after he saw some cops around. However, police stopped him and the gun was found on him during search in August 2015.
Rai, in his statement recorded under Section 164 of the Criminal Procedure Code which is admissible unlike a statement to police, said that "after Indrani picked up Sheena in her car he gagged her while Indrani's former husband Sanjeev Khanna held her hands and she strangled her".
According to the prosecution, 24-year-old Sheena was murdered on April 24, 2012. Indrani, Khanna and Rai had allegedly strangled Sheena, Indrani's daughter from an earlier relationship inside a car.
Sheena's body was found in a forest in Raigad. The crime, which came to light last year, is allegedly linked to certain financial dealings.
The trio were arrested in August last year, while Peter Mukerjea was arrested in November. According to CBI, Peter was part of the murder conspiracy.
While Peter and Khanna are lodged in the Central prison at Arthur Road, Indrani is in Byculla women's jail in the city.
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