According to SuperSport.com, the Egyptian Football Association (EFA) said it was advised to make the announcement by the country's interior ministry due to security concerns.
Zamalek are also set to entertain Etoile du Sahel without home support in their last-four tie a day earlier.
Pirates beat Ahly 1-0 in the first leg in Soweto last weekend, while Zamalek were thumped 5-1 by Etoile in Tunisia.
"Both Al-Ahly and Zamalek [Confederation Cup matches] will be without fans according to the recommendation from the Ministry of Interior. We sent them a request and they assured that Al Ahly will play their match against Orlando Pirates in Suez City while Zamalek will play in Petro Sport in New Cairo City," EFA executive director Tharwat Swailem is quoted as saying by SuperSport.com.
"We wrote to the Ministry of Interior and assured them that we are not responsible for the attendance of the fans in this couple of matches," he added.
However, Ahly and Zamalek have indicated they will challenge the decision.