"The blood that spilt on the street is piercing my heart. What it [the government] has done to the Thai people is cold-blooded. Let the pain remind us and give us strength to fight until we win," protest leader Suthep Thaugsuban said.
He said the incident showed that the prime minister was not stupid, but a "demon", Bangkok Post reported.
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Suthep said the grenade attack had not scared him and the PDRC supporters. They would make another city march today but he gave no details.
"We have to continue this fight. We have invested a lot in it," he said.
Dozens were injured in the explosion which happened as protesters neared a busy intersection in the shopping district of the city on Friday afternoon.
The capital's Erawan emergency centre said the man died early today. The victim was injured from the bomb shrapnel which had pierced his chest.
Protesters, who seek to rein in the political dominance of the Shinawatra clan in the country, allege that the Yingluck regime is controlled by her fugitive brother, former premier Thaksin Shinawatra who was ousted in a coup in 2006.
They want to install an un-elected "people's council" to carry out reforms before the February 2 snap polls.
Yingluck, however, remained defiant and said that the easy way to oust her would be to cast the ballot in the general elections as other unconstitutional ways could not fix the problems.
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