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I executed CGIHTTPServer and requested the following URI,
"http://localhost:8000/cgi-bin/test.py?k=aa%2F%2Fbb"
to pass "aa//bb" as argument "k",
but test.py received "aa/bb".
I looked in CGIHTTPServer.py and found _url_collapse_path function
discards continuous slash letters even they are in the given parameters.

This bug seems to remain in Python 3.5.0.
How to reproduce:
1. Save the attached cgitest.py into cgi-bin directory and changed it to executable file by "chmod +x cgitest.py"
2. Run CGIHTTPRequestHandler
[GCC 5.1.1 20150618 (Red Hat 5.1.1-4)] on linux
Type "help", "copyright", "credits" or "license" for more information.
>>> import http.server
>>> http.server.test(HandlerClass=http.server.CGIHTTPRequestHandler)
3. Visit http://localhost:8000/cgi-bin/cgitest.py by any browser.
4. Input "a/b/c//d//e///f///g" to form named "p".
5. The continuous slash letters are trimed and "a/b/c/d/e/f/g" is given to cgitest.py.

Yes it also seems to apply to Python 3.
Perhaps you forgot your test script, so I made my own. After running
python3 -m http.server --cgi
The response from the following URL has no double slashes to be seen:
http://localhost:8000/cgi-bin/test.py//x//y//?k=aa%2F%2Fbb&//q//p//=//a//b//
I am not a CGI expert, but I suspect the query string bits should have double slashes, but maybe the PATH_INFO is right not to (see RFC 3875).

I think this is a bug. 
According to the rfcs, "/" is a reserved character in query component and continuous "/" in query component may be invalid and how to deal with it depends on the server. But encoded "/", %2F, acts as data and should be preserved. And from rfc3875, QUERY_STRING must be passed encoded.
I tested in apache2.4 with martin's script, query string is:
('QUERY_STRING', 'k=aa%2F%2Fbb&//q//p//=//a//b//')
In python's CGI server, it is:
('QUERY_STRING', 'k=aa/bb&/q/p/=/a/b/'),

The path with query component are unquoted entirely and then pass into
_url_collapse_path.
I think this behaviour is wrong and according to rfc3875 query component
should be left encoded in QUERY_STRING.
This patch seems to solve the problem. It passes the tests and with
martin's script, it gets:
('QUERY_STRING', 'k=aa%2F%2Fbb&//q//p//=//a//b//')
has the same behaviour with apache.

It would be good to have a regression test case for this one too.

Add the testcase and use str.partition.

The patch looks like it will fix this particular bug without much negative impact. However there are plenty of other problems with this module’s URL handling, see Issue 14567. I think the translate_path(), _url_collapse_path(), is_cgi(), run_cgi(), etc functions all need a good rewrite.
Anyway it might be worth going ahead and committing this straight away, whether or not anyone is motivated to fix the wider issue later on.

Yes, there seems to still exist some defects not conforming to the
specification. I would like to investigate it. Maybe I can propose
a patch for it.

New changeset 634fe6a90e0c by Martin Panter in branch '3.4':
Issue #24657: Prevent CGIRequestHandler from collapsing the URL query
https://hg.python.org/cpython/rev/634fe6a90e0c
New changeset ba1e3c112e42 by Martin Panter in branch '3.5':
Issues #25232, #24657: Merge two CGI server fixes from 3.4 into 3.5
https://hg.python.org/cpython/rev/ba1e3c112e42
New changeset 88918f2a54df by Martin Panter in branch '3.5':
Issues #25232, #24657: Use new enum status to match rest of tests
https://hg.python.org/cpython/rev/88918f2a54df
New changeset 0f03023d4318 by Martin Panter in branch 'default':
Issues #25232, #24657: Merge two CGI server fixes from 3.5
https://hg.python.org/cpython/rev/0f03023d4318
New changeset 3c006ee38287 by Martin Panter in branch 'default':
Issues #25232, #24657: Add NEWS to 3.6.0a1 section
https://hg.python.org/cpython/rev/3c006ee38287 

New changeset a4302005f9a2 by Martin Panter in branch '2.7':
Issue #24657: Prevent CGIRequestHandler from collapsing the URL query
https://hg.python.org/cpython/rev/a4302005f9a2 

Thanks everyone for the reports and patches. There were a couple of subtle compatibility tweaks needed for the 3.4 and 2.7 branches, but I think I got them all.