Nine people died in a shower of bullets directed at a group of Christians leaving Mass on the Coptic Christmas Eve.
The Coptic community is urging the Australian Government to join international condemnation of the killings.
The marchers carried coffins to represent the nine lives lost to the Egyptian Consulate in Melbourne, suggesting Egypt's Government should take some responsibility for the shootings.
The march was led by the Coptic Orthodox Bishop of Melbourne, with numbers boosted by members of the Catholic, Anglican and Orthodox churches.
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The Coptic community is the minority in Egypt, where Muslims make up 90 percent of the population, and the government follows Sharia law.
Consular visit
Bishop Suriel visited Consular staff, urging swift justice, saying, “I hope it will be the last time I have to come here to complain about what Islamic extremists are doing.”
Three people have been charged over the attack.
It's been reported that Government officials suspect the shooting was in retaliation for the alleged rape of a 12-year-old Muslim girl by a Coptic man in the same town in November.
But the Copts vow they're peaceful people who don't instigate violence.
The marchers also travelled to the Department of Foreign Affairs, and the Victorian Parliament, urging the Australian Government to join the Pope and other national governments in speaking out against the shootings.
