I have been observing locations of CID very closely since a long long time now. I very clearly know that they shoot in and around the Malad area. Most of the time close to the INORBIT MALL (Malad East). Infact most of the time when Daya Sir is shown inverstigating or questioning people on the roads its one the road opposite this mall. There is showroom called "THE LOOT" a little further, I have seen it so many times in CID, the team even going in and out investigating. Then in MALAD WEST there is OBEROI MALL. I have seen a lot of Chase Sequences being filmed on the parallel roads outside that MALL. I think they shoot there because even Filmcity is close by. They mention Mud (Mud island) often too but I have not seen that area so I wouldn't know if they are only mentioning it or shooting there too.
If someday you get to meet the team then please do get me one autograph of ACP Pradyuman. I am a big fan of Shivaji Satam ever since I started watching this show.😛