The government also issued a cautiously-worded statement which appeared to indicate Mr de Menezes had a forged stamp in his passport.
The spokeswoman said: "Mr de Menezes ... applied for leave to remain as a student. This was approved on October 31, 2002, and he was granted leave to remain until June 30, 2003.
"We have no record of any further application or correspondence from Mr de Menezes. We have seen a copy of Mr de Menezes' passport containing a stamp apparently giving him indefinite leave to remain in the UK.
"On investigation, this stamp was not one that was in use by the Immigration and Nationality Directorate on the date given."
She added: "We wish to repeat the Government's deep regret at his tragic death."
Brazilian Mr de Menezes, 27, was gunned down last Friday as he fled from police at Stockwell Tube station in south London.
The electrician was shot eight times seven bullets direct to the head after police followed him from Tulse Hill in south London.
His family claimed he had acted as "training" for police, who had learned from their mistakes by deploying Taser stun-guns in a subsequent operation to arrest July 21 bomber suspect Yasin Hassan Omar. Family members also insisted Mr de Menezes had been in the country legally.
The Home Office spokeswoman went on: "This information has been passed to the Brazilian government in order that the family of Mr de Menezes can be informed."
She also confirmed that Mr de Menezes arrived in Britain on March 13, 2002, and was given entry for six months as a visitor, before successfully applying for a student visa until June 30, 2003.
The body of Mr de Menezes arrived yesterday in his home state of Minas Gerais for burial. His coffin, accompanied by three of his cousins and a friend, reached Sao Paulo yesterday morning via a commercial flight.
A Brazilian Air Force plane transferred the body to the city of Governador Valadares, 750 miles north-east of Sao Paulo.
A fire truck carried the coffin for the 62-mile trip to Mr Menezes's hometown of Gonzaga, where the funeral is to be held today.
Brazil's human rights secretary, Mario Mamede, was in Governador Valadares to await the plane's arrival.
"We cannot tolerate the violation of human rights in the name of combating terrorism," Mamede told Agencia Estado news agency. The killing sparked angry protests in Gonzaga.