Sweden issued the arrest warrant in 2010 following allegations from two Swedish women, one who claimed rape and another who alleged sexual assault.
The Australian former hacker has been ensconced in Ecuador's embassy in London since 2012 to avoid extradition to the Scandinavian country.
"The Supreme Court notes that investigators have begun efforts to question Julian Assange in London. The Supreme Court finds no reason to lift the arrest warrant," it said in a statement.
Assange, who faces arrest if he tries to leave the Ecuadorian embassy, has always vehemently denied the allegations and insisted the sexual encounters were consensual.
He has refused to travel to Sweden because he fears the country would send him to the US, where an investigation is ongoing into WikiLeaks' release in 2010 of 500,000 classified military files on the wars in Afghanistan and Iraq and 250,000 diplomatic cables which embarrassed Washington.