Before the auction, Mostafa Waziri, secretary-general of Egypt's Supreme Council of Antiquities, said he was disappointed that the sale was going ahead despite requests for information and protests from government officials and Egypt's embassy in London.
But Egypt's foreign and antiquities ministries have taken issue with the plan. He added that London "has violated the worldwide agreements in this regard after its negative stance towards the sale of the Egyptian artifacts".
Christie's auction house sold the 28.5cm relic for 4.7 million pounds ($5.97m) on Thursday at one of its most controversial auctions in years.
"We aren't going to stop".
A crowd of some 20 protesters gathered in front of Christie's on Thursday, holding up placards saying that "Egyptian history is not for sale".
In June, Egypt's Ministry of Antiquities appealed to Christie's and UNESCO to halt the sale, and asked to see documents proving the item's provenance, according to a statement from the ministry.
"They never tell us about the origin, about how they bought it from Egypt, who has ownership of this piece. We are going to keep asking again and again [for it to be returned]".
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It was expected to sell for more than £4m ($5m), plus commission, with a collector the most likely buyer.
The head is being sold from the private Resandro collection of Egyptian art.
Christie's says the sculpture was acquired from Munich-based dealer Heinz Herzer in 1985.
"We recognise that historic objects can raise complex discussions about the past, yet our role today is to work to continue to provide a transparent, legitimate marketplace upholding the highest standards for the transfer of objects".
Its oldest attribution from 1973-74 places it in the collection of Prince Wilhelm of Thurn and Taxi in modern-day Germany.
"This piece has been widely published and exhibited, it's a very well-known piece so there hasn't been any claim on the piece, and we haven't received any evidence from the Egyptian authorities about a problem", she said.
Egypt has long demanded the return of artefacts taken by archaeologists and imperial adventurers, including the Rosetta Stone kept in the British Museum - campaigns paralleled by Greece's demands for the Parthenon sculptures, Nigeria's for the Benin Bronzes and Ethiopia's for the Magdala treasures.