The National Criminal Investigation Department on Monday received the results of forensic tests carried out on the gun, which was found in a lake in Dalarna, central Sweden, last year.
The gun is believed to have been used in a post office robbery in the town of Mockfjärd in 1983. One of the men convicted for involvement in the Mockfjärd robbery said he sold the weapon in 1985 to Christer Pettersson, the man convicted but later acquitted of Palme's killing.
Tests by the National Laboratory of Forensic Science were unable to shed any light on whether the Mockfärd gun was used in the Palme murder. The rusty weapon has been test-fired, and bullets from compared with those found at the scene of the murder and from those found at other crime scenes.
The state of the gun meant it was not possible to carry out DNA analysis or to test it for fingerprints.
"We would have preferred to get a clear answer, but we have not. We must now continue the investigation without being able to rule out this gun," said Stig Edqvist, head of the investigation into the Palme murder.
Police say that despite the setback, they have not given up hope of getting an answer about the gun's history. The investigation team is considering calling in international experts to help examine the weapon.