The protest was peaceful, beginning near Parken Stadium in Osterboro before moving to the embassy Sunday afternoon, The Copenhagen Post reported Monday.
Event spokesman Shahzad Akram said blustery winds and poor promotion of the march led to fewer protesters showing up.
"We had expected about 5,000 or 6,000 people ... but the demonstration wasn't promoted very well, so many people didn't know about it," he said. "Generally we are here to demonstrate people's right to express themselves, but to do so without insulting others."
The group criticized the United States and the United Nations for permitting the U.S.-made movie "The Innocence of Muslims, which denigrates the Prophet Muhammad. A 14-minute clip from the film was posted on the Internet in early July.
An man in the procession shouted slogans and criticisms from a bullhorn.
He called the film a "visual and verbal form of terrorism [that] threatened peace and provided fodder to radicals."