Children and adults joined the torch-lit rally on Friday under rainbow-coloured banners and slogans, calling for the release of the two aid workers Simona Pari and Simona Torretta.
Organisers said 80,000 people took part in the rally.
"We hope that this demonstration will be a signal for peace in Iraq and for the release of all hostages, Italian, Iraqi and French," said Ileana, a volunteer for the Italian charity Un Ponte Per Baghdad (A Bridge to Baghdad), for which both captives work.
Pari and Torretta were abducted on Tuesday from the offices of their aid agency in Baghdad, less than a month after Italian reporter Enzo Baldoni was seized and killed by his captors.
President Carlo Azeglio Ciampi also appealed for the release of the two Italian captives.
"They are citizens of a country which nourishes a sincere and long-standing sentiment of friendship toward the Islamic world," he said of the two women.
"They decided to go to Iraq in a gesture of human solidarity. We anxiously await their release. The Italian people, as one, demand it."
Italy has about 3000 troops and police in Iraq as part of the US-led forces there.
Earlier in the day, leading Muslim figures recorded prayers at Rome's main mosque, calling for the release of the aid workers. They are to be broadcast on television in the Arab world.