The group says police bundled the prime minister out of the venue, knocking her to the ground in their haste.
They said Aboriginal protesters were assaulted by police.
"We're appalled at the violence we saw today directed against the Prime Minister, and the tactics police employed to try and intimidate members of the Aboriginal Tent Embassy, who were peacefully protesting at a family gathering," the groups spokesman Paul Coe said in a statement late on Thursday night.
"The only violence came from police. There was no risk to the Prime Minister of Australia.
"No-one here would have hurt the Prime Minister. Even the opposition leader was safe.
Mr Coe told reporters he was shocked by the behaviour of police.
"We are appalled at the brutal behaviour that the police and the Australian security service handed out to the Prime Minister of Australia that forced her to lose her shoe," he said.
He said the group would return the shoe to her as a gesture of friendship and in the spirit of cooperation.
"We hope she will turn up here tomorrow to accept it in the same spirit," he said.
"We are not a nation of thieves," he added.
Mr Coe said the First Nations Parliament would be established within a year.
"We're sending letters out to our lawmen and women asking them to meet with First Nations to convene our parliament and to draft our constitution," he said.
Four Aboriginal men set up the Aboriginal Tent Embassy, opposite Old Parliament House in Canberra, on January 27, 1972, camping underneath a beach umbrella in protest of the McMahon Liberal government's refusal to recognise Aboriginal land rights.
Over the years the issues of sovereignty became central to the embassy's ongoing protest.
Tensions boiled over on Thursday afternoon following comments by Mr Abbott who said that it was time for Tent Embassy to be taken down.
- AAP
