Prosecutors in Giza have detained a leading Shia figure for possession of unlicensed firearms and ammunition.
Mohamed El-Dereiny, who heads the Supreme Council for Ahl El-Beit, a group representing Egypt's Shia Muslims, said he had the weapons for self-defence after receiving death threats.
He told prosecutors he feared he would be killed like Shia Sheikh Hassan Shehata.
Shehata and three other Shias were killed in a hundreds-strong sectarian mob attack in Zawyat Abu Musalam village in Giza governorate on Monday.
El-Dereiny said he used a camera found with the weapons to record a video message to President Mohamed Morsi saying he would protect himself.
El-Dereiny will be detained for four days pending investigations.
A journalist at state news agency MENA and another man arrested at El-Dereiny's home were released after questioning.
Five people were arrested on Tuesday for their alleged involvement in Monday's mob attack.
Egypt's ultraconservative Salafists have been accused of fuelling anti-Shia sentiment.
Salafist Calling – the largest Salafist group in Egypt – has dismissed attempts to link it to the murders.
President Mohamed Morsi and Prime Minister Hisham Qandil said, "the state will not be lenient with anyone who tampers with Egypt's security or the unity of its people."
Amnesty International warned against sectarian violence against Shias in Egypt:
“Egypt’s President Mohamed Morsi must urgently tackle the unprecedented level of sectarian violence against Shia Muslims and ensure they are protected from further attacks.”