Demonstrators called for bringing al-Sabagh's killers to justice.
Al-Sabagh was killed on Saturday during a protest in downtown Cairo on the eve of the fourth anniversary of Egypt's Jan. 25 uprising, which had culminated in the ouster of autocratic President Hosni Mubarak in early 2011.
It remains unclear who caused the activist's death, but the government says certain individuals had infiltrated the protest and shot al-Sabagh in the face with birdshot.
Al-Sabagh's colleagues, however, accuse the police, citing what they describe as "brutal force" used by police to disperse demonstrations.
On Thursday, female activists chanted slogans against the Interior Ministry, which controls Egypt's sprawling police apparatus.
Some carried placards on which they held Interior Minister Mohamed Ibrahim responsible for al-Sabagh's death.