HONG KONG—Opponents of Hong Kong Chief Executive Carrie Lam vowed further protests, dealing a setback to her attempt to quash unrest sparked by a bill that would legalize extradition to China.

Mrs. Lam said Tuesday that the bill was “dead,” but didn’t say that it would be withdrawn. Barely two hours after she spoke, the Civil Human Rights Front, a broad coalition organizing opposition to the measure, held a news conference to dismiss her remarks.

“All...