Prime accused Zahida Parvez and four other accused have sought the transfer of the trial to Bhopal on the ground that the offence had taken place there.
"After hearing arguments of both the sides, Special CBI Judge Anupam Srivastav upheld the decision of the Special Magistrate (CBI), Dr Shubhra Singh, about the jurisdiction of trial in Shehla murder case and rejected our revision petition," one of the defence lawyers Yawar Khan told reporters.
The next hearing is posted on August 1, he said.
"We will soon knock on the door of high court against the judgment," Khan said.
After hearing the arguments from both sides on July 13, Srivastava had reserved the order for today.
Meanwhile, the key accused Zahida said she had full faith in judiciary.
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"I have full faith in country's judicial system. For me, Indore and Bhopal courts are equal. Whatever will happen, will be good," she said after emerging from the court.
Meanwhile, the court also turned down another revision petition filed by the defence seeking access to reports of a polygraph test conducted on BJP MLA Dhruv Narayan Singh and phone call details pertaining to the murder case besides other documentary evidence.
The court of Dr Shubhra Singh too on June 22 had rejected these demands after which the accused filed the review petition.
Shehla was shot dead outside her house in Bhopal's Koh-E-Fiza locality on August 16, 2011.
Apart from Zahida, other accused in the case are Saba Farooqui, Irfan, Tabish and Saquib Ali 'Danger'.