Young people singing patriotic songs carried the coffin of politician Zedi Feruzi, stopping traffic as they marched for 90 minutes through Bujumbura, the capital, to a Muslim cemetery.
Feruzi and a body guard were last Saturday night in a drive-by shooting. Feruzi's killing has caused many of Burundi's opposition figures to go into hiding, saying that those who oppose President Pierre Nkurunziza's bid for a third term are not safe.
Burundi has been rocked by four weeks of street protests, in which at least 20 have died, that started after it was announced Nkurunziza will stand for re-election on June 26.
Opposition politicians, journalists and civic activists are hiding in Bujumbura, the capital, because they do not feel safe after the killing of Feruzi, another opposition figure Agathon Rwasa told The Associated Press.
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"The life of anyone who opposes Pierre Nkurunziza is in danger," said Rwasa. "People are being assassinated here and there."
At least 100,000 Burundians have fled to neighboring countries fearing political violence ahead of the elections.
Four independent radio stations and TV station have been attacked with grenades and at least one has been completely burned, leaving the state-owned media as the only source of information for many Burundians who don't leave in the capital. Some journalists who witnessed the attacks say the perpetrators were government intelligence officials and police.