We show that, based on Grabner's recent results on modular differential equations satisfied by quasimodular forms, there exist only finitely many normalized extremal quasimodular forms of depth r that have all Fourier coefficients integral for each of r = 1, 2, 3 and 4, and partly classifies them, where the classification is complete for r = 2, 3 and 4. In fact, we show that there exists no normalized extremal quasimodular forms of depth four with all Fourier coefficients integral. Our result disproves a conjecture by Pellarin.