A federal grand jury will investigate the violence that left five demonstrators dead at a 1979 "Death to the Klan" rally in Greensboro, N.C., the Justice Department announced yesterday.

The grand jury will be empaneled March 22 in Winston-Salem, N.C., 30 miles from Greensboro, said John Wilson, a spokesman for the department's Civil Rights Division.

The probe into the Nov. 3, 1979, incident will be conducted jointly by attorneys from the Civil Rights Division and the U.S. Attorney's Office for the Middle District of North Carolina.

The FBI, acting on a court order issued Friday by a federal judge in Winston-Salem, has seized all the physical evidence used by local prosecutors in the case, Joseph E. Slate Jr., clerk of Guilford County Superior Court in Greensboro, said.

Television films of the rally, organized by the Communist Workers Party, showed that members of the Ku Klux Klan and the American Nazi Party drove up to the assembly point for the rally, exchanged taunts and insults with the demonstrators and then opened fire. The police did not arrive until after the shooting had stopped. Five demonstrators were killed and nine others were wounded.

Four Klan members and two American Nazi Party members, charged with murder and felonious rioting, were acquitted by an all-white jury in November, 1980.