H4 to F1 visa in Canada with extended H4 status

My H4 visa had expired on June 2012 and we have extended it till 2014.But I have not been outside of US since the expiry.If I go to Canada for F1 visa and I am rejected.Can I come back on H4?Is there any problem with that Since I dont have a h4 visa and just h4 status?Which one would be better option going to Canda or India for F1 visa?

If F-1 is denied, you will have to get H-4 visa stamped and then return to US. You cannot return unless you get one visa or the other stamped in your passport.