At least nine members of the security forces were killed and 29 wounded in the fighting.
Ghazi was killed on Tuesday night after Pakistani forces laid siege to the mosque for more than a week.
His body was being taken for burial in his home village in Punjab province, an interior ministry official said. His brother, Abdul Aziz, was due to accompany the body to their village for the funeral.
Abdul Aziz, the chief leader of the Red Mosque, was caught escaping the mosque last week disguised in a burqa.
He was then shown on Pakistan TV the next day in similar dress, which Zawahiri called a "dirty, despicable crime committed by Pakistani military intelligence" at the orders of Musharraf.
Abdul Sattar Edhi, head of the private relief agency Edhi Foundation, said the army had asked him to prepare 400 white shrouds used for covering the dead.
Hundreds of people marched in Peshawar, denouncing the military assault in Islamabad, Al Jazeera's correspondent in Pakistan reported.
Police said more than 100 armed tribesmen and religious students near Batagram, in northwest Pakistan, joined a protest over the storming of the mosque by temporarily blocking a road leading to China.
Another 500 Islamic school students in the eastern city of Multan blocked a main road and burned tyres, chanting "Down with Musharraf".
The decision to storm the mosque followed a week-long siege and came after the government said efforts to negotiate a peaceful end had broken down.
Final death toll
No one knew how many people were in the complex when the assault began. More than 1,200 people left during a week-long standoff after clashes erupted on July 3.
Government spokesmen accused the Red Mosque fighters of holding up children and using them as human shields before and during Tuesday's raid.
|Parents are anxiously awaiting news of|
children who were in the mosque [EPA]
Although officials said about 30 children and 27 women had managed to escape during the fierce fighting, talks between the government and fighters suggested that hundreds had been inside.
That has raised fears that the final death toll from the military raid could rise significantly.
Heavy casualties, especially among women and children who were religious students based at the compound would be bad for Musharraf in the run-up to elections due late this year, when he will seek a second five-year term.
In Wednesday's video, entitled "The Aggression against Lal Masjid", Zawahri said: "Rigged elections will not save you, politics will not save you, and bargaining, bootlicking, negotiations with the criminals, and political maneuvers will not save you.
He said that if the Pakistani people did not rise up against the president, Musharraf would not stop "until he eradicates Islam from Pakistan".
Many Pakistanis berated Musharraf for not clamping down sooner on the mosque, which had sought to impose strict Islamic law in the capital, including inciting students to abduct and "re-educate" alleged prostitutes.
Self-exiled former prime minister Benazir Bhutto backed the government assault and newspapers and the United States were also supportive.
Source: Al Jazeera and agencies