"You go to the high court. Why should we entertain when the statement was made in the state (West Bengal)? Why should the high court be by-passed in this matter?" a bench of Chief Justice R M Lodha and justices Kurian Joseph and Rohinton F Nariman said.
The PIL was filed by advocate Bijayan Ghosh on July 4, seeking a probe by CBI as he had alleged that the West Bengal Police were acting in a partisan manner in the matter.
In the petition, the advocate had made West Bengal government and CBI as respondents.
Pal was shown in a video footage aired by a vernacular TV news channel on June 30 threatening to kill CPI-M workers and having their women raped.
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"If any CPI-M man is present here. Listen to me. If you ever touch any Trinamool Congress worker or their families at Choumaha, you have to pay for this. Don't try to act smart with me. I am smarter than you...
Pal had later tendered an apology for his remarks which had triggered a nationwide outrage.