Police fired tear gas and rubber bullets but no injuries were reported.
Hundreds of people were reported missing two days after the building fell, the BBC reported.
Protesters demanded the arrest of the owner of the building in Rana Plaza.
The owner of the plaza, Sohel Rana, had not commented publicly since the disaster, The Wall Street Journal reported.
Authorities said about 70 survivors had been extricated from the debris of the building, built in 2007 with permission from the mayor's office but without proper authorization from regulators on land that was deemed unstable.
Some victims were trapped. Workers used drills, shovels and their bare hands to get to them and others who may have survived.
The collapse of the building, which housed some garment operations, is being called the nation's deadliest industrial calamity.
Some people who have relatives missing in the rubble complained about the absence of modern equipment to aid in the search for victims, the newspaper said.
"I want to live. It's so painful here," the BBC reported one trapped man, Mohammad Altab, told reporters Thursday.
The British network said another trapped victim begged for help.
"It's hard to remain alive here. It would have been better to die than enduring such pain to live on," the unidentified man said.
Notable deaths of 2014 [PHOTOS]
Yemeni prime minister resigns amid fighting