Award-winning journalist Javier Valdez was shot dead on Monday, close to the offices of the newspaper he had founded in his home state, Sinaloa.
He had spent his career investigating drug cartels and had been repeatedly threatened.
He is one of several journalists who have been killed in Mexico this year.
In Mexico City on Tuesday, protesters wrote "They are killing us" and "No to silence" - a phrase used by Mr Valdez - on the road next to the iconic Monument to Independence on the main thoroughfare, Paseo de la Reforma.
Those who were there in person held images of Mr Valdez, while others stuck in their office worked below his projected image on a big screen.