The Orgreave Truth and Justice Campaign (OTJC) told a press conference earlier "the gloves are off".
Secretary Barbara Jackson said it may start crowdfunding to pay for a review.
Andy Burnham, MP for Leigh, asked an urgent question earlier in the House of Commons about the decision not to proceed with an inquiry.
Mr Burnham said Orgreave was one of the most divisive events in British social history, and that Prime Minister Theresa May had "invited Orgreave campaigners to submit a bid for an inquiry".
He said: "She entered Downing Street talking about fighting burning injustices. The House will understand why today so many people feel bitterly betrayed.
"Given that there is evidence of unlawful conduct by police in relation to it, isn't it simply staggering that the Home Secretary has brushed away an inquiry as not necessary?"