His deputy, Mustafa al-Yacoubi, was arrested last week for the same incident, setting off what became violent protests around Iraq on Sunday.
The Iraqi arrest warrant for Sadr was issued several months ago, according to coalition spokesman Dan Senor.
Al-Khoei was the son of a former grand ayatollah who had been living in exile in Great Britain for more than a decade. He was considered to be a friend to the western coalition. He was negotiating for the handover for the shrine from pro-Saddam forces.