The eight hostages and the gunman, a sacked policeman, died in last Monday's hijack in Manila and the rescue has been heavily criticised across the world, particularly in Hong Kong and China.
Dressed mostly in black and white, many openly wept and carried flowers to mourn the eight.
The failed rescue and poor security in the Philippines has posed a major political challenge for Philippine President Benigno Aquino.
The coalition of major local political parties which helped organise the rally in a rare show of unity reiterated calls for a thorough and full investigation.
Hundreds of Filipinas held a candlelight vigil on their traditional day off and urged the people of Hong Kong to not direct their anger at them.
