About 25 protesters gathered outside the hotel on Tuesday morning, shouting slogans demanding sovereignty for Taiwan and carrying placards denouncing China and holding anti-unification messages such as "If Taiwan unites with China it will end Taiwan's democracy."
They also burned images of Sha, who is a Communist Party official on the mainland and the chief of Shanghai's United Front Work Department which promotes Taiwan-China unification, Efe news reported.
One marcher waved a partially torn Chinese flag and wore a placard on his back which read "23 million Taiwanese decide the future of Taiwan."
Around 100 police officers were guarding the hotel to prevent protesters from entering.
At the Taipei Songshan Airport on Monday, when Sha arrived from Shanghai, the protesters rallied while several pro-China groups welcomed the Chinese .
The delegation on Tuesday attended the annual Taipei-Shanghai Forum, nicknamed the twin-city dialogue, and signed three agreements on cultural and sports exchange.
The forum is one of the few exchanges Beijing has allowed to exist despite worsening ties since President Tsai Ing-wen took office on May 20.
Beijing threatened to isolate Taipei through trade and diplomatic means after Tsai refused to accept the one-China policy that claims Taiwan as a part of China.
China considers Taiwan as a breakaway Chinese province awaiting reunification with the mainland.
But Taiwan claims it is a sovereign country, currently recognised by 22 countries.
