"I am innocent and demand a CBI probe in the case," he told reporters during hearing in a local court here today.
He denied the claims that a special team of Punjab Police had arrested him with their highly publicised "secret efforts".
"Police did not arrest me. I was called on the pretext of signing some papers to hand over the case to CBI. But when I reached to sign the papers, they 'arrested' me from Haryana and started taking credit for my arrest, which was never (the case)," he said.
"All are concocted stories of the Punjab police. When I have not done anything wrong, why should I have remorse?" he asked, adding that nothing has been recovered "from me till date".
Bhola, former DSP and Arjuna awardee, was arrested with his associates, major supplier Jagjit Singh Chahal and Manjinder Singh Aulakh last month from Murthal in Haryana.
The court remanded him in police custody till December 6.