No evidence was presented by Pakistani intelligence officials who spoke on condition of anonymity, but the comments are a blow for US intelligence.
Mehsud appeared in a video with a Jordanian double agent last year who later killed seven CIA employees in a suicide attack in eastern Afghanistan on December 30.
US drone attacks intensified following the deaths, but some analysts say the announcement on Thursday represents something of a gain for the Pakistani Taliban.
Rahimullah Yusufzai, an expert on Taliban and tribal affairs said: "This confusion goes in favour of the Taliban as it embarrasses the government.
"It shows that there is lack of real intelligence and there are still areas which are still not under the control of the government."
Taliban officials have also sent conflicting messages about the fate of Mehsud on different occasions.
Rehman Malik, the Pakistani interior minister, said in February that he had "credible information" that Mehsud was dead.
A Taliban official in February told journalists that Mehsud had died of his wounds while being taken to the city of Karachi. But Taliban main spokesman Azam Tariq denied that.
The al-Qaeda-backed Pakistani Taliban are waging a war against Pakistan's US-backed government.