Veteran activists led the solemn gathering which wove its way from the commercial heart of Hong Kong Island to China's liaison office, with some marchers in tears.
Liu's ashes were buried at sea today, depriving supporters of a place to pay tribute following his death Thursday from cancer while in custody on the mainland.
Hong Kongers have already held memorial events but today's was by far the largest.
It came the day after four pro-democracy legislators were disqualified from Hong Kong's parliament, worsening fears that freedoms in the semi-autonomous city are under serious threat from an ever more assertive Beijing.
"But this is how he was treated for being so loyal to the country."
Chau said she feared Hong Kong's freedoms were also now in jeopardy.
"With the disqualification of the lawmakers yesterday, it's like this place is decaying," she told AFP.
"While we still have the chance, I want to play some kind of role."
The city is ruled under a "one country, two systems" deal granting it freedoms unseen on the mainland, guaranteed in the handover agreement when colonial power Britain returned Hong Kong to China in 1997.
Marchers of all ages carried floral wreaths and white chrysanthemums, bowing three times in front of a makeshift memorial to Liu outside the liaison office, a traditional sign of respect at funerals.
Some brought their children and grandchildren with them.
Steven Wong, 45, had travelled from Singapore to attend the march, saying he had respected Liu for many years.
Wong was born and grew up in Beijing and was a high school student there in 1989, the year of the brutal crackdown on pro-democracy protesters in the city's Tiananmen Square.
"He was a great scholar who woke up young people, especially of my generation," Wong said of Liu.
"He made me think deeply about what we can do as a Chinese (person) and what we can teach our students," said Wong, who is now an arts researcher.
Former Hong Kong lawmaker and long-time democracy advocate Alan Leong called for Liu's wife, Liu Xia, to be freed.
He also said Hong Kong was facing a "dire situation" as Beijing was "committing treachery" against it.
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