Magomed Yevloyev, who ran a banned website that had called for protests against the local government, was shot in a police car on Sunday and died in hospital. Police have said he was shot by accident, a claim his supporters have rejected.
Protesters brought Yevolyev's body to the city center.
Magomed Khazbiyev, a local opposition leader, told reporters: "There is a huge number of people here. The rally has been underway for an hour. Magomed Yevloyev has not been buried, his body is here, at the rally."
An Interior Ministry source said earlier that Yevloyev had been detained by police at the local Magas Airport and driven in a police vehicle to Nazran to give testimony regarding "a criminal case."
"Preliminary reports say that while the vehicle that Yevloyev and the police officers were in was moving, one of the officers' guns accidentally went off, and a bullet hit Yevloyev in the head," the source said.
Investigators from the local prosecutor's office said on Sunday that a probe into Yevloyev's death would be carried out.
Yevloyev's website, Ingushetia.ru, was closed down earlier this year after being declared extremist. Local authorities said the website had called on people to take part in unsanctioned demonstrations in January. The protests against the local administration were banned over public safety fears. The decision to close the website was approved by a Moscow court in August.
France's Foreign Ministry has urged Russia to conduct a full investigation into the circumstances surrounding Yevloyev's death.