According to the protesters on Thursday, police broke into Clarisse Gerardine Mbango's room at Rostov university on 7 December in a move to forcibly deport her.
"We saw one of the policemen beat her. We saw everything - they beat her up and forced her to dress quickly," another student from Cameroon said.
But police officials said Mbango had irregular documents for entry to Russia and was frequently absent from lectures, forcing a local court to order her deportation.
According to a telegram received by the local Cameroon consularship, Mbango died the next day in a hospital in the nearby town of Shakhty. Police said she had suffered an epileptic fit.
Local migration service chief Fedor Tarasov played down talk of a fatal beating, telling protesters at a meeting: "I myself examined the dead girl and can assure you that I saw no traces of beatings or any bruises on her body."
However, prosecutors in Shakhty assured the angry students that a criminal case would be launched if an autopsy provided grounds for suspicion.
The murder of a West African student in February launched a wave of street protests and highlighted racial tensions in Russia which has seen at least four racially motivated killings this year alone.
However, since January two-thirds of those indicted in connection with racist crimes and misdemeanors have been acquitted, Russian human-rights group, the Bureau for Human Rights, said in a recently published report.