"We are sorry," a three-judge bench comprising Chief Justice H L Dattu and Justices Arun K Mishra and Amitava Roy said while rejecting the plea.
The transfer petition was filed by Sushila Bai H R Patil through lawyer M L Sharma alleging that the state agencies have been "standing behind" the 49-year-old actor.
It said that complainant Ravindra Himmatrao Patil, a constable with the Mumbai Police, was sitting with Salman Khan on the front seat of the vehicle and he had been harassed at the instance of the accused.
"If the state itself support the accused and his crime, have their hand to eliminate evidence, no justice in any manner is possible to anyone," it had said.
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It also claimed that if the appeal is left in the state, the "entire evidence will be destroyed".
On May 6, the actor was convicted of culpable homicide not amounting to murder and sentenced to five years imprisonment in the case but escaped being sent to jail after the Bombay High Court granted him interim bail till May 8.