No, he tried to use Tenseiga but it wouldn't work. Probably because she was an incarnation and her life was not her own.
Edit: I won't say the above explanation is incorrect, but from what I understood, the reason Sesshomaru couldn't save Kagura was different. Tenseiga killed the Messengers of the Other World, keeping them from doing things to a dead person's body (I always figured they were keeping a person's body from healing, or possibly keeping it dead or making it that way). Naraku's shouki was dissolving Kagura's body, so there was nothing he could save from the Messengers.
- Edit: Actually, the first one is incorrect. If Naraku's detachments don't "own" their lives, then Sesshoumaru wouldn't have been able to bring Goshinki's head back to life for Kaijinbou.