CAIRO, July 29 (Reuters) - Several thousand supporters of Egypt's ousted Islamist president began marching on a military facility in Cairo on Monday in defiance of an army warning to stay away, risking a new confrontation after dozens were shot dead at the weekend.

A spokesman for the Muslim Brotherhood said the marchers had set off from the Rabaa al-Adawiya mosque in northern Cairo, where they have been manning a vigil to demand deposed President Mohamed Mursi's reinstatement.

At least 72 Mursi supporters were shot dead by security forces on Saturday near the vigil, deepening the turmoil convulsing the country since the army shunted Egypt's first freely elected president from power on July 3.

A Reuters reporter said the march numbered several thousand, chanting: "Our blood and souls we sacrifice for Mursi." The military intelligence building is several kilometres (miles) from the site of the vigil.

The army, saying it was aware of the planned march, issued a statement urging protesters "not to come close to military facilities in general, and the headquarters of military intelligence specifically."

Thousands of Brotherhood supporters are defying a threat by Egypt's army-backed authorities to clear them from the site of the vigil.

Saturday's killings at dawn, following a day of rival mass rallies, fuelled global anxiety that the Arab world's most populous nation - a bridge between the Middle East and North Africa - risked broader conflagration.

The European Union's foreign policy chief, Catherine Ashton, was due to meet on Monday with the army's General Abdel Fattah al-Sisi, who led the overthrow of Mursi, and officials of the Freedom and Justice Party, the Brotherhood's political wing. (Reporting by Yasmine Saleh; Writing by Matt Robinson; Editing by Philip Barbara)