KTAR-FM, Phoenix, said nearly 3,000 demonstrators called for Maricopa County Sheriff Joe Arpaio to stop using canvas tents as an extension of the county jail.
The Rev. Geoffrey Black of the United Church of Christ said it was painful to see men and women living in tents in the Arizona heat, KTAR said.
Arpaio said Tent City jail will stay there as long as he is in charge.
"They worry about the heat but I say this over and over again: Our men and women are in Iraq, Afghanistan; it's about 115 degrees [Saturday] serving our country," Arpaio said.
The protest was organized by the immigrant rights group Puente Arizona and the Unitarian Universalist Association. Arpaio said he had to boost security for Saturday's protest and plans to send the bill to the organizers.
"This cost a lot of money. You can thank these demonstrators. I am going to check the law and see if I can charge them. I am sure I can't get by with it. We are here defending our tent city, my officers, the Phoenix police," Arpaio was quoted as saying.