They gathered in Manhattan's Union Square for speeches before splitting into small groups escorted by police.
The Black Lives Matter movement has emerged in America as a response to the treatment of black people at the hands of law enforcement.
The event began around 9:45 p.m. and demonstrators were there protesting against police brutality in the aftermath of two police-involved shootings of African American men this week and the mass shooting at a march in Dallas that killed five officers.
"I am going to keep on talking about the fact that we cannot eliminate all racial tension overnight, but we can make it harder" for people to carry out their anger with weapons, he said. "No matter what degree, no matter what attainment, we're often seen as a threat".
According to investigators, 25-year-old black veteran Micah Johnson said he was angry about recent killings by police and that he wanted to kill whites, particularly white officers.
However, early reports of the violence drew irresponsible comments from politicians and other public figures, who placed the blame on President Barack Obama and Black Lives Matter activists.
The two, both black, were killed by white police officers.
He wouldn't speculate on the motives of the shooter, but said: "I think the danger.is that we somehow suggest that an act of a troubled individual speaks to some larger political statement across the country. We have to", said Cox.