You are confusing two different issues: 1) Priority date retention; and 2) 245(i) eligibility.
In order to retain a priority date in this situation the I-140 must be approved. Since the I-140 was denied the priority date is lost, but it may be possible to file another I-140 depending on why the initial I-140 was denied. An approved labor certification does not lose its validity so long as the initial I-140 was filed within 180 days of approval (hence it may be able to support a subsequent I-140 filing).
To retain 245(i) eligibility, you must establish that the labor certification application was filed prior to April 30, 2001 and was "approvable when filed." Since the PERM application was approved that standard (absent fraud) would be met. However, under these facts, unless the PERM application was used to convert and old RIR or traditional labor certification, 245(i) would not come into play since the PERM program did not take effect until 2005 and you could not have a priority date prior to 2005.
I suggest you consult with an experienced immigration attorney who can review the specific facts of your case and advise you how best to proceed.