I think he still has it. If he didn't keep it with him, who knows what could happen to it? Besides, does anyone remember that episode with that old Ninetales whose Pokeball broke? I think it was Brock who said that Ninetales was free after the ball broke. (There might have been more episodes with a broken Pokeball reference but I can't really recall at the moment.) That said, if Ash just ditched it somewhere, like throwing it in a lake or something stupid like that, Pikachu could technically become a wild Pokemon again. (Not that he would, since he's a loyal Pokemon and partner.) But if Ash did ditch the ball and it somehow broke, anyone could technically throw a Pokeball at Pikachu and possibly capture him for themselves. That would include Team Rocket, or even Dawn or Brock if their Pokeball slipped out of their hand or something. (Similarly to how Misty caught her Psyduck against her will - the ball fell out of her bag, if I properly recall.)