In this paper we study the dynamical instability of Sakai-Sugimotos holographic QCD model at finite baryon density. In this model, the baryon density, represented by the smeared instanton on the worldvolume of the probe D8-overline{D8} mesonic brane, sources the worldvolume electric field, and through the Chern-Simons term it will induces the instability to form a chiral helical wave. This is similar to Deryagin-Grigoriev-Rubakov instability to form the chiral density wave for large N_c QCD at finite density. Our results show that this kind of instability occurs for sufficiently high baryon number densities. The phase diagram of holographic QCD will thus be changed from the one which is based only on thermodynamics. This holographic approach provides an effective way to study the phases of QCD at finite density, where the conventional perturbative QCD and lattice simulation fail.