The protest, which drew a crowd of about 1,000, was held Wednesday in Culiacan Rosales, capital of Sinaloa state, El Universal reported. Guzman, nicknamed "El Chapo," was arrested Saturday by Mexican authorities in Mazatlan, a coastal city in Sinaloa.
The United States is seeking Guzman's extradition.
Mario Lopez Valdez, governor of Sinaloa state, said people have the right to express their opinions. But he said about 20 participants were arrested for blocking traffic.
Valdez suggested some of the protesters had been paid to march and that others were drawn by the promise of a band party.
Guzman, head of the Sinaloa cartel, eluded capture for more than a decade after escaping from a Mexican prison in 2001.