On Sunday the protesters chanted "Vote no vote" urging people to mark the abstention box on ballot papers for the snap election on 2 April that Thaksin Shinawatra called three years early in the hope of ending a political crisis.
It was the first time the anti-Thaksin campaign called systematically on people to cast their ballots.
The campaign intensified in January after Thaksin's family sold its stake in the telecommunications empire he founded for a tax-free $1.9 billion
The march followed a 50,000-strong rally on Saturday night by the People's Alliance for Democracy, an ad hoc alliance, to call on King Bhumibol Adulyadej to replace Thaksin with a neutral government which would implement political reforms.
A lower turnout at the rally compared with previous ones attended by 100,000 appeared to back a poll last week showing that people in Bangkok were getting fed up after weeks of protests.
The palace has said the king is following events closely but it has shown no sign that he is willing to act against Thaksin, the only elected prime minister in Thai history to complete a full term.
Thaksin says he will quit if he
gets less than 50% of the vote
On Friday Thaksin told Reuters he did not think the king - who has intervened publicly twice in his 60-year reign, both times against military rulers - would act.
Thaksin has turned the election into an effective referendum saying he would quit if his Thai Rak Thai (Thais Love Thais) party got less than 50% of the vote, hence the calls for people to cast abstentions.
Some 300 police kept watch as the protesters left the National Stadium early on Sunday to march several kilometres past shopping malls ranged along Sukhumvit Road.
By the time it reached the last, police estimated that the crowd had dwindled from a peak of 10,000 to about half that number.
The three main opposition parties are boycotting the election, saying it cannot be fair because Thaksin has taken over institutions meant to be independent.
But the latest signal from the palace suggested that it wanted the election to go ahead.
Prem Tinsulanonda, a former Thai prime minister, and the head of the king's council of advisers, was shown on national television casting his ballot at an advance poll and urging people to vote.
In an editorial, the Nation newspaper, which is anti-Thaksin, said: "It may be hard for the People's Alliance for Democracy to accept, but Prem was sending a message: the time is not right for a royally appointed prime minister, unless something really, really bad happens."
Polls suggest people in Bangkok
are getting fed up with protests
The protests have been peaceful so far despite police fears of violence in a country with a history of military coups and bloody street demonstrations, although there were minor scuffles on Sunday.
Violence could bring a state of emergency which would put troops on the streets, but the military has said it sees no reason for one and Thaksin told Reuters that he did not want to have to impose it.
However, Thaksin, who was due to campaign in Bangkok later on Sunday, has suggested that his patience might run short if the demonstrations against him continued after the election.