Did the Klan ever hold rallies, marches or cross-burnings to protest whites killing or raping other whites? I'm not much of a Klan historian, but I'd have to say the answer is pretty much no.
If not, then what's the difference between Black Lives Matter and the Klan? They both only get wound up when a member of an undesirable race does something to someone of their race. I don't recall seeing any BLM protests in Chicago where each weekend brings more intra-racial violence. Certainly no marches and demonstrations on the scale of what we've seen lately.