The demonstrators carried four cardboard coffins decorated with gold crosses, and held up banners showing pictures of the 21 Coptic Christians who were beheaded by IS militants in a graphic video released Sunday.
"We call on the international community to respond to the killing of innocents," one banner read, as an Orthodox priest read out a eulogy for the dead.
The sombre march made its way to Jerusalem's Coptic monastery, where banners were displayed featuring stills from the IS video and passages from the Bible.
"We want to express solidarity with Egyptians and Copts, and to show how sad Palestinian Christians and Muslim friends are" about the deaths, said Nashat Filmon, 39.
"It doesn't make up for the barbaric way they were slaughtered, so we pray for this region to wake up and reject (IS)," he said.
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Joseph George, 25, said the international community should intensify its fight against the group.
"If the US could destroy Saddam Hussein's regime in a week, why can't they do it to a small group?" he asked.
"Christianity originated in the Middle East, but now there's no more place for us -- we've been fleeing for years," he said.
"Jesus taught us to turn the other cheek... but if someone tries to kill you for no reason, you should defend yourself."
Cairo carried out strikes against IS in Libya after the video was released.
IS militants have been hammered by US-led air strikes in Iraq and Syria after taking over swathes of the two countries, and the group has active affiliates in Egypt and Libya.