Sabbagh, 32, died on Saturday as riot police were trying to breakup a small, peaceful demonstration. Friends said she was shot and images of her bleeding body rippled out across social media, sparking outrage and condemnation.
"I think there was a certain momentum created around Shaimaa's death. People are here at incredible risk to themselves. But it's a way of standing against the fear they have instilled," said activist Yasmin el-Rifae.
Organizers defied a law that severely restricts protests.
The interior minister has said an investigation into Sabbagh's death is underway, promising prosecution if any member of the security forces is found responsible.
One of the organizers of Thursday's demonstration said they had called for only women to attend because they feared the protest would be infiltrated by male, plainclothed agents.
Men stood across the street from the protesters, beside police officers, making lewd hand gestures and calling the protesters "dogs" and other profanities.
Others chanted in favor of President Abdel Fattah al-Sisi.
Sisi has come under pressure over what critics perceive as increasingly heavy-handed security tactics since the army overthrew President Mohammed Morsi of the Muslim Brotherhood in the summer of 2013 following mass protests against his rule.
The crackdown that began with the deaths of hundreds of Brotherhood supporters and imprisonment of thousands more has expanded to include liberals and other activists.
Some of those now on the wrong side of the government initially supported the protests that led to Morsi's removal and Sisi's rise to power, as those who knew Sabbagh said she did.
Police vans covered in wire-fencing were posted at a nearby square as part of an increased security presence that has been in place since Sabbagh's death. Fire trucks were also in the square along with plainclothes security.
One protester held a styrofoam cutout depicting a now-famous image of Sabbagh, with her face dripping blood, as a man tried to carry her away from the gunfire.