If E2 visa is denied for how many days can we stay or do we have to leave the state immediately ?

You would need to depart the country immediately assuming you applied for a change or extension of status. You will begin accruing unlawful presence as of the date of the denial. You can read more about E2 visas at http://myattorneyusa.com/e1-e2-and-e3-visas-overview.