Security has been tightened at Sania Mirza's bungalow in the upmarket Banjara Hills area of Hyderabad.
And the six-times Grand Slam winner, who plays India's Sania Mirza in round three, is certain she can improve.
Li faces Magdalena Rybarikova in the final after her 3-6 6-0 6-3 win over Sania Mirza in the other semi-final.
Sania Mirza, 23, and Shoaib Malik, 28, announced their wedding last week.
Some activists burned Mirza's effigy and shouted "Sania Mirza down down".
But Shoaib Malik, who is married to Indian tennis star Sania Mirza, hit 57 from 50 balls, which included a giant six to win the game.
Kiran Kumar, organising secretary of the Hindu nationalist Rashtriya Swayamsewak Sangh in Vijaywada, said young stars like Sania Mirza should behave with dignity in inspiring youngsters.
South beat Czech world number 66 Petra Kvitova 6-4 6-2 and will now face Meng Yuan in the next round after the Chinese beat 16th seed Sania Mirza.
Fourth seed Li, the highest-ranked player left in the competition, will face Magdalena Rybarikova in the final, after the 13th-seeded Slovakian beat Indian Sania Mirza 3-6 6-0 6-3.
Sania Mirza, 19, from Hyderabad, has so far risen to 34 in the women's rankings, and has caused a stir as much by what she wears on court as her performances.
New Delhi, India (CNN) -- Indian tennis player Sania Mirza and Pakistani cricketer Shoaib Malik exchanged wedding vows Monday in a controversy hit celebrity union across the deep political and religious rivalries that divide their two countries.
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