"No more violence", and "This is bloody enough" the signs said, some of them with pictures of the 15-year-old boy who was shot dead on New Year's Eve.
"Where are the police, where is the safety," they marchers chanted.
There was music, a short speech, but no political action during the hour the plaza was filled with people.
"I feel elation when I see that so many have responded to our challenge. Today we form a united front against organized crime and illegal weapons," said one of the initiators, former Social Democrat Riksdag member Luciano Astudillo.
The meeting was first suggested via Facebook after the 15-year-old boy was killed, and a few days later, when another man was shot dead on a Malmö street in broad daylight, about 10,000 people rapidly signed up to partake.
Organizers of the demonstration encouraged people not to bring flags and banners as the protest was not of political nature, daily Dagens Nyheter reported.
Speakers emphasized the importance of changing the growing image of Malmö as an unsafe city.
"[Malmö] is such a young city and people move here because they think that's positive, but the violence denigrates that image and it frightens people," Astudillo told Dagens Nyheter.
The paper described the demonstration as dignified and calm.