"We have constituted five teams to probe the murder," the newly-appointed Senior Superintendent of Police (SSP), Bhopal, Yogesh Choudhry told PTI.
Shehla was found shot dead inside her car in front of her house in the Koh-e-Fiza locality here on Tuesday.
She had gone on a fast recently, in support of Anna Hazare's anti-corruption campaign. She was also involved in other causes, including wildlife conservation, and the issue of deaths of tigers in sanctuaries in the state.
Meanwhile, Leader of Opposition in the state Assembly, Ajay Singh, has demanded a CBI probe.
"Shehla had been working for a long time as an RTI activist and many officials and politicians were affected by this," he said in a letter to the Chief Minister, Shivraj Singh Chouhan, today.
The murder probe must cover the corrupt politicians and officials affected by her work, he said. The Congress leader further claimed that in January, Shehla had written to the state Home Minister, saying that she feared a threat to her life from a senior police official.
But she was not provided with security, nor was the police officer questioned, Ajay alleged.
Ajay Singh also said in the letter that he was amazed to read in the newspapers that Shehla's death could be a suicide. This indicated that some powerful people were trying to suppress the truth, he said.
The Leader of Opposition pointed out that even the police had said that no weapon was found at the spot, which made the killing more mysterious. The law and order situation in the state had collapsed totally, he claimed.