"We appreciate your love towards the martyr #Sheikh_AlNimr who lives in our hearts but we refuse attacks on #Saudi ambassies in #Iran or others," Mohammed al-Nimr tweeted in English.
Angry demonstrators attacked the Saudi embassy in Tehran and its consulate in Mashhad following Saturday's execution of Nimr, a driving force behind anti-government protests in 2011.
Sunni-ruled Saudi Arabia responded yesterday by severing diplomatic ties with Shiite-dominated Iran, its long-time regional rival.
His body was not given for his family for burial, according to another post on Twitter by his brother, who said authorities informed the family that the cleric had already been buried.
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Nimr's brother issued a statement calling for the corpse of Nimr to be handed over to his family.
He expressed the family's hopes that "officials would answer our legitimate wish quickly by giving us the body of the martyred sheikh so that he would be buried in his hometown Awamiya."
Assailants killed a civilian and wounded a child today when they opened fire on Saudi police in Awamiya, Nimr's birthplace in Saudi Arabia's oil-rich Eastern Province, state media reported.