AFP was unable to get confirmation from the courts or Faye's lawyers that his release request had been denied.
Faye has been in prison since 2023 but his candidacy was approved by authorities, making him the first imprisoned candidate to contest a Senegalese election.
He is one of hundreds arrested since 2021 in connection with a bitter stand-off between the state and his now-dissolved party PASTEF.
The opposition candidate was charged with contempt of court, defamation and acts likely to compromise public peace. His arrest came after he published a message critical of the justice system.
Faye was put forward as a substitute candidate to replace imprisoned opposition firebrand Ousmane Sonko.
But it is unclear how exactly Faye will run his campaign leading up to the first round of voting on February 25.
The presidential race is the most open since Senegal gained independence from France in 1960.
Senegal has never suffered a military coup — a rarity in troubled West Africa — but has witnessed several bouts of deadly unrest since 2021.
Adding to the general air of unease, Senegal's parliament on Wednesday approved a commission of inquiry into the workings of the Constitutional Council — the body which both finalizes the list of candidates and announces the winner of the election.
In January, the council approved 20 candidates but disqualified dozens of others, leading to fears that the election could be postponed.
The campaign to establish an inquiry was launched by disqualified candidate Karim Wade, the son of former president Abdoulaye Wade, who lives in exile in Qatar.
His candidacy was rejected on the grounds of his dual nationality — his mother is French — which he says he no longer has and therefore does not prevent him from running.
He has accused two of the seven members of the Constitutional Council of having links with presidential hopefuls, including Prime Minister Amadou Ba, endorsed by outgoing President Macky Sall.
The inquiry has prompted fears that the legitimacy of the Constitutional Council could be called into question at a critical moment.
Most MPs from the president's own party unexpectedly voted in favor of the inquiry, fueling speculation that they could be trying to delay a vote they fear losing.
Ever since the Constitutional Council published its final list of presidential candidates, there have been calls for Faye to be released from jail.
Faye applied for provisional release on January 22, but a judge on Tuesday rejected the request, according to a coalition backing Faye.
"The regime persists in its desire to deprive all opponents of their rights," it said.
The government has repeatedly denied interfering in judicial affairs.
Senegal's courts have rejected several previous requests for Faye's release.
The repercussions of his continued detention could play out even before Sunday.
Each presidential candidate must record their first campaign message on site at Senegal's national broadcaster on Friday or Saturday, according to rules guiding campaign communications on national television.
DAKAR - The race to become Senegal's next president looks set to kick off on Sunday with anti-establishment candidate Bassirou Diomaye Faye behind bars, according to his aides.