Ahmed Abdel Kader put Ahly in front after only two minutes of the semi-final second leg before goals either side of half-time from Ahmed Kendouci and Riad Benayah edged Setif ahead.
But two-time African champions Setif were denied the consolation of a home victory in Algiers when Sherif equalised.
Ahly won the semi-final 6-2 on aggregate having built a four-goal first-leg lead in Cairo last weekend, and will face long-time rivals Wydad Casablanca of Morocco in the May 30th final.
However, record 10-time champions Ahly want the match staged at a neutral venue and have appealed to the Court of Arbitration for Sport (CAS) in Switzerland to overturn the CAF decision.
Ahly and Wydad met in the 2017 final with the Moroccans winning 2-1 on aggregate over two legs, before single-match finals were introduced two seasons ago.
CAF confirmed that the 2022 title decider must go ahead in Morocco.