The protesters say five citizens -- some of whom also hold European passports and who publish books that are often critical of the Chinese leadership -- were taken by Chinese authorities.
The latest to vanish, Lee Bo, disappeared from his warehouse last month. His company, Causeway Bay Books, was due to publish a book on Chinese president Xi Jinping's alleged love affairs before he came to power, according to Hong Kong pro-democracy lawmaker Albert Ho.
Protesters chanted "no to cross-border abductions" and "stop political kidnapping" at the march, which went from the Special Administrative Region's government offices in the business district of Admiralty to the Chinese government's liaison office in the western Hong Kong district of Sai Wan.
The liaison office is the de facto headquarters of the People's Republic of China in the city.
Hong Kong police estimated there were 3,500 protesters at the peak of the protest. Protest organizers, the Hong Kong Alliance in Support of Patriotic Democratic Movements of China, said there were 6,000.
The crowd called for Chinese authorities to release the five men they say have been illegally detained over the border.
Police were regulating foot traffic from a subway station close to the beginning of the march, protesters told CNN.
At the liaison office, the destination point for the march, protesters were tying yellow ribbons -- a symbol of the city's 2014 Occupy movement -- around railings in front of the building.
A handful of demonstrators, carrying colonial-era Hong Kong flags and banners saying "Hong Kong is not China," were prevented from approaching the liaison office by dozens of police officers.
Although it was returned to Chinese control in 1997, Hong Kong has different laws from China, agreed to under a 50-year compact between China and the UK, which administered Hong Kong before the handover.
Under the agreement, called the Basic Law, Chinese legal authorities have no jurisdiction in the city.
The Basic Law -- which espouses a system commonly known as "one country, two systems" -- guarantees freedoms of speech in Hong Kong that are not granted in the mainland.
Taking advantage of free speech
Several publishing houses and bookshops here have spent years churning out books banned on the Chinese mainland, often focusing on poorly sourced secrets and rumors about the top echelons of China's ruling Communist Party. The books are popular with Chinese visitors to the city.
With the disappearances, pro-democracy activists in the city say that Chinese authorities are riding roughshod over the agreement.
Speaking in Beijing last week, British Foreign Minister Philip Hammond said he had urgently inquired of both Hong Kong and mainland Chinese authorities about the whereabouts of Lee.
Lee holds a British passport, but Chinese authorities do not recognize dual citizenship and say Chinese nationals, including those in Hong Kong, are Chinese "first."
Chinese Foreign Minister Wang Yi, who appeared with Hammond, said that Lee was "first and foremost" a Chinese citizen and it was "not necessary for anyone to make groundless speculations" about his whereabouts.
Echoes of 2014's 'Occupy' protests
In 2014, large parts of Hong Kong, including the Admiralty district where Sunday's protest originated, were brought to a standstill when tens of thousands of protesters, many of whom were students, staged a months-long sit-in
, saying China had reneged on commitments to universal suffrage guaranteed by the Basic Law.