The demonstrators, numbering about 7,000, want Thaksin returned to face criminal charges at home, the Bangkok Post reported.
Thaksin and his wife, Potjaman, fled to London last week. Thaksin was due to appear in a Bangkok court on corruption charges. His wife was convicted of tax evasion last month and was out on bail.
The demonstrators shouted "Thaksin, go to jail." Some held banners saying "Most wanted criminals: Thaksin and Potjaman," the Post report said.
The demonstrators handed a letter to an embassy official. The letter said, "Thaksin fled the indictment to London and is planning to seek asylum in Britain," and warned if Thaksin isn't returned, "it will further contribute to the political and democratic deadlock."
The Thai high court has issued an arrest warrant for Thaksin and Thai prosecutors must decide whether to start extradition proceedings.
Thaksin was ousted in a 2006 military coup. The couple have denied all charges against them and believe they won't get a fair trial in Thailand.