Since investigation into the case was still on, it's not the right stage to grant bail to Peter, judge H S Mahajan maintained.
The bail plea will be considered once charge sheet is submitted, he added.
Peter, whose wife Indrani Mukerjea is the prime accused in the case, was arrested on November 19 for his alleged role in the murder conspiracy.
Other co-accused Sanjeev Khanna and Shyamvar Rai, Indrani's former driver, too, are in the same jail. Indrani is lodged at the Byculla women's jail.
Sheena (24), Indrani's daughter from an earlier relationship, was allegedly strangled in a car in April 2012 and her body burnt and dumped in a forest in adjoining Raigad district.
CBI, which took over the probe from Mumbai police late last year, suspects that financial transactions led to the murder of Sheena.
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