A series of checkpoints known as the "ring of steel" was established in 2009 after repeated attacks in the city centre, but the militants evaded armed police tasked with searching people and vehicles.
Three police chiefs responsible for the Wazir Akbar Khan district have been suspended over the security breach that allowed the Taliban militants to gun down 13 foreigners and eight Afghans on Friday evening.
"The police officers will be questioned to see how this attack happened," interior ministry spokesman Sediq Sediqqi told AFP at the rally outside the Taverna du Liban restaurant.
Demonstrators holding signs reading "We denounce terrorism" gathered at the scene of the attack to protest at the Taliban insurgency against the US-backed Kabul government.
"We came to denounce the acts of terrorism that took place here," said Lailee Rahimi, who works for the Counterpart International aid group.
"We wanted to show sympathy to the victims of the attack. We are against acts of the insurgents," she added.
Zubair Ahmad, a construction company employee and student at the American University of Afghanistan, said he was marking the loss of two US staffers working at the university.
Among the dead were three Americans, two British citizens, two Canadians, the International Monetary Fund head of mission, and the restaurant's Lebanese owner.
United Nations leader Ban Ki-moon paid tribute to the four UN staff killed and pledged the UN would maintain its work in Afghanistan.
"This is totally unacceptable and this is a violation of international humanitarian law. All the perpetrators must be held accountable," the secretary general said.
"As the United Nations mourns this terrorist attack and its victims, we remain committed to work for the peace, stability and development of Afghanistan."
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