You shouldn't really be messing around with those things to begin with. Even feathers. Unless you know for certain the egg belonged to a bird not covered in the Migratory Bird Act (such as a house sparrow; this egg could possibly be a house finch's egg however, as sparrows are far from the only common small brown bird, even in urban areas), leave those alone, unless the egg was, like, rolling out of a nest or otherwise in a vulnerable spot.
Bird Myths: Picking Up a Bird Feather is Illegal