Saturday's protest was the third major demonstration since a 6 November poll handed victory to those loyal to President Ilham Aliyev.
Observers said the vote was marred by ballot stuffing and police interference.
The opposition promised a popular uprising in the oil-rich former Soviet republic if elections were rigged, but analysts say they are too weak to stage a repeat of Ukraine's Orange Revolution.
"The people of Azerbaijan demand the resignation of those in power. The question of fair elections is a question of honour," Ali Kerimli, joint leader of the Azadlyq opposition bloc that won only a handful of seats, told the crowds.
The Organisation for Security and Cooperation in Europe (OSCE) said 15,000 people took part in the protest. Police said they estimated fewer than 5000 were present and that there were no disturbances.
Isa Gambar, another opposition leader, said the government's decision to cancel the election results in some districts would not appease them.
Plea to the West
The protesters urged the West, whose companies have invested heavily in oil from the Muslim republic, to support them. "Bush, why are you keeping silent?" read one placard appealing to the United States president.
President Aliyev responded to the scathing report on the vote by international election monitors by promising that officials found to have interfered with the ballot would be punished.
The opposition have vowed to continue their demonstrations.