The AAP members carried placards saying 'Not in My Goa' and 'Go Back Shah.'
Shah, who is on a two-day visit to the coastal state, was in Margao for opening of the party's office in south Goa along with Chief Minister Manohar Parrikar.
"The protest was against the increasing number of lynching in India. We don't want similar things here," a senior AAP leader Pradip Padgaonkar said.
"It was a silent protest against the hate politics of the BJP," he said.
The protestors who wanted to march to the venue were stopped by the police.