The accused, Nasir Khan Pathan, Abdul Salim Ghanchi and Shoaib Zoaid filed an affidavit in this regard through their lawyer.
The trio stated before the court of Principal Judge P B Desai that NIA officials were forcing them to confess to their crime under CrPC Section 164 but they have refused to do so.
A statement made under CrPC Section 164 before a magistrate is admissible as evidence in a court of law unlike that recorded in the presence of a police officer.
On Tuesday, Pathan's wife Rukshana Banu had filed an application before the court stating NIA officials were forcing her to persuade her husband to admit to role in the twin murder.
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The matter will be next heard on May 3.
NIA had earlier sought a three-day remand of the three who are among 12 arrested in the case. However, the court rejected the plea but allowed the anti-terror agency to question them in the jail.
Bangali was a former President of BJP Bharuch district and Mistry General Secretary of the local unit of Bharatiya Janata Yuva Morcha, a wing of the saffron outfit.
NIA was handed over the case after Gujarat Police probe showed that the duo were murdered to avenge communal riots in Mumbai and Gujarat in 1993 and 2002, respectively
Police also claimed to have found the involvement of gangster Javed Chikna, an aide of overseas-based underworld don Dawood Ibrahim, in the murders.