The march comes days after a court in Turkey jailed just one defendant for the 2007 slaying. At the same time, the court acquitted 19 defendants of being part of a terrorist group behind the killing, including the alleged ringleader.
Dink's lawyer says they will appeal the ruling to a higher court.
Speaking at the protest, the lawyer, Arzu Becerik, said justice had not been done.
"When I look back upon the last five years, I can say this period is wasted for nothing with regards to justice and democracy. Because they couldn't carry out a sound judiciary process," Becerik said.
Turkish parliament member Ufuk Uras said the large turnout in Istanbul reflected general outrage over the outcome of the trial.
"This is a scandal. This is why this commemoration turned out to be stronger. No matter what the judge says, no matter how much he complains about lack of evidence, the evidence was collected despite that judge and his delegation but we witnessed spoiling of evidence," Uras said.
Turkey's President Abdullah Gul and Prime Minister Tayyip Erdogan have said they will only speak on the case after the appeal process.
Washington says it is watching the case closely.
"We have regularly talked to the government of Turkey about this case and others. I would note that both the government of Turkey and the Dink family expect that this case is going to end up in the appeals court in Turkey," said State Department spokesperson Victoria Nuland.
"So will continue to follow it and not, from this podium or any other, prejudge the outcome, but we have made clear in this case and in others that we believe that an independent and transparent judiciary and full accountability are critical to all healthy democracies, including Turkey," she added.
His supporters say Dink was likely killed for his writings on the Turkish "genocide" of Christian Armenians in 1915.
compiled from agency reports