McKee, who wrote for publications including The Atlantic and Buzzfeed News, was hit by a stray bullet that was likely meant for police as riots unfolded in the city of Londonderry on Thursday night.
The group - who call themselves Saoradh - marched down O'Connell Street for a so-called "Unfinished Revolution" event.
We have received very positive support from the community but we need to convert this support into tangible evidence that will enable us to bring Lyra's killers to justice.
In a statement, he said: "I know that all right-thinking members of the public are sickened at the sight of a small number of people in paramilitary uniforms, particularly after the horrific killing of a young journalist, Lyra McKee, in Derry on Thursday night".
They're treating it as a terrorist incident and have blamed dissident republicans.
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Most of the disruption to the city has come from protesters gathering outside their designated protest zone at the Marble Arch. At one stage, officers used an angle grinder to cut through a metal pipe connecting two protesters to each other.
As family, friends and supporters gathered on Friday at a vigil to mourn the 29-year-old investigative journalist and activist, Lyra McKee's partner, Sara Canning, described her as a "tireless advocate and activist" for the LGBT community.
He said: 'Individuals continue to exert influence over communities, not just in the Creggan but in other parts of the communities as well.
Ms McKee's funeral will take place at St Anne's Cathedral in Belfast on Wednesday at 1pm.
The words "not in our name - RIP Lyra" have been added to the famous Free Derry mural in the city's Bogside area.
A group of some six men, understood to be members of republican group Saoradh, who are associated with the New IRA, stood outside the building during the intense protest.
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Local television footage showed a small plume of smoke near the ministry, and people climbing out the windows on a lower level. All suicide bombers killed & more than 2000 civilians staff rescued", the Minstry of Interior said on Twitter.
McKee was wounded by a gunman firing shots at police and onlookers as cars were set on fire around her, petrol bombs were thrown at emergency vehicles and fireworks exploded.
He told the BBC's Sunday Sequence programme that people in the Creggan estate were "disgusted at what happened".
"As the dead have slipped through our fingers, we pray trust in the Risen Jesus they will be at peace and we will find peace at their passing", said Bishop McKeown.
Vigils have been held across Northern Ireland and people have paid tributes to her by signing books of condolence.
[MàJ] XIII : Un remake du FPS annoncé pour le mois de novembre
On retrouvera toujours un soldat ayant perdu la mémoire qui est suspecté d'avoir assassiné le président des États-Unis. C'est ce qu'a annoncé aujourd'hui Microïds et PlayMagic Ltd en dévoilant un court teaser très James Bondesque .