The Jaffna magistrate rejected their bail petition and remanded them in custody for two more weeks.
On October 20, two students of the Jaffna University were gunned down by police in Sri Lanka's Tamil-dominated Northern Province, prompting authorities to arrest five policemen.
The students were shot dead at a police checkpoint in Jaffna. Though police initially denied shooting the students, a post-mortem report found bullets in one of the bodies.
The incident had triggered large-scale protests in Jaffna.
President Maithripala Sirisena had ordered a special probe and compensation for the families of the students.