Heavy neutrinos were sought in pion decays $pi^+ rightarrow mu^+ u$ by examining the observed muon energy spectrum for extra peaks in addition to the expected peak for a massless neutrino. No evidence for heavy neutrinos was observed. Upper limits were set on the neutrino mixing matrix $|U_{mu i}|^2$ in the neutrino mass region of 15.7--33.8 MeV/c$^2$, improving on previous results by an order of magnitude.