Zamalek failed to give Portuguese coach Jesualdo Ferreira his first win after he returned to the club last month, producing another lifeless display.
Sagrada Esperanca could have even caught them on the break on at least two occasions at an empty Cairo International Stadium.
Zamalek, who have lost 1-0 to Morocco's Wydad and played out another goalless draw with Petro Atletico since Ferreira's return, finished third in Group D with four points, two ahead of bottom side Sagrada.
Wydad, who are top with 12 points, face second-placed Petro Atletico (11 points) on Saturday to determine who will advance as the group winners.
Despite their territorial dominance, Zamalek struggled for openings against Sagrda, creating only two clear-cut chances.
Central defender Mahmoud Alaa, one of few Egyptian internationals to play after Ferreira had opted to rest most of them following their loss to Senegal in a World Cup qualifying playoff, headed just wide from a left-wing cross after seven minutes.
Left-back Mohamed Abdel-Shafi also hit the post from a tight angle early in the second half.
At the other end, Jo Paciencia fired over the crossbar after breaking clear on 78 minutes and substitute Carlinhos narrowly missed the target with a powerful shot a few minutes later.
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