Joyce Clarke, 29, was reportedly armed with a knife when a constable shot her about 6.15pm on Tuesday on a residential street in Karloo, Geraldton.

Mayor Shane Van Styn said the woman's mental health issues were well known to the community, and she had been let down by systemic failures and a lack of resources.

"The community has made it clear that systemic failures in both the health system and the justice system need to be addressed," he told AAP on Thursday.

Ms Clarke, who had only recently been released from prison and was being managed under the Mental Health Act, died in hospital and leaves behind a seven-year-old son.

Her family has been demanding to know why a Taser was not used instead of a gun.

They participated in a rally of about 500 people, including children, demanding justice for Ms Clarke and calling on the state government to fund acute mental health facilities.

There are currently none in Geraldton and people suffering episodes are sedated and flown to Perth.

Supporters waved Aboriginal flags and held signs, including one that read: "We're here to be heard for our lost loved ones. We'll fight for what they deserve: Justice."

The rally was mostly peaceful and respectful, except for a minor scuffle involving a man who appeared to be trying to take hold of a megaphone.

A liquor restriction has been placed on the town until Saturday "due to high emotions", which has further outraged some indigenous people who have described the move as insulting.

Indigenous senator Pat Dodson issued a statement urging people to stay calm and "not to engage in any provocative or retaliatory behaviour".

National Suicide Prevention and Trauma Recovery Project coordinator Gerry Georgatos told AAP police needed better training to de-escalate situations involving people struggling with mental health.

Deputy Police Commissioner Gary Dreibergs could not say whether police had done anything wrong.

"They made decisions at that time based on what they were confronted with," he told 6PR radio.

"Those decisions and those actions are now being investigated."

Mr Dreibergs said police had received a couple of calls that evening from the community about a person armed with a knife.

"We have a knife in our custody as part of the evidence," he said.

But Mr Dreibergs said out of fairness to the family, police and broader community he did not want to draw conclusions too early about the knife or the actions of officers.

"The Aboriginal community is clearly outraged. There's people at the front of the Geraldton police station ... they're very upset," he said.

"They're entitled to be. They're not doing anything wrong ... everybody grieves differently."

Mr Dreibergs said police had several "tactical options" during an incident - including using Tasers, pepper spray and guns - but officers were not trained to shoot someone in the leg.

"We're trained to shoot to stop the threat," he said.

The constable who shot Ms Clarke is on leave.

Australian Associated Press