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Allan was with Treasure Jaclyn Symes in West Melbourne when Sewell arrived.
“Why don’t Australians have the right to protest?” Sewell could be heard saying.
“Why do you want to ban us from protesting? Shouldn’t we have the right to speak in our own country?”
Sewell was held back by security as Allan and Symes quickly left.
The white nationalist figure recently made a speech to the crowd at the anti-immigration March For Australia rally in Melbourne on Sunday.
In his tirade at the press conference, Sewell also incorrectly claimed 50,000 people attended that rally.
On Sunday, he was also seen in a crowd that allegedly attacked an Indigenous encampment, Camp Sovereignty, after splitting off from the main rally.
Police are investigating the incident, which Police Minister Andrew Carbines labelled “gutless”.