His lawyers wanted a judicial review to challenge that decision but a judge turned down a new hearing.
According to the BBC, government Home Office lawyers oppose wealthy people being able to buy police security.
The Royal Family is given round-the-clock protection, paid for by taxes.
Jeff J Mitchell/Getty Images
However, Prince Harry was successful in getting legal reviews for the decision-making process over his security.
These are yet to be heard.
Prince Harry is also continuing his legal war with the UKs tabloids.
Mirror Group denies all claims.
He is also News Group Newspapers, which ownsThe Sun, and theDaily Mails publisher.
