Police said the virtually silent march on Sunday in memory of 17-year-old Joe Van Holsbeeck was the largest protest seen in Belgium in 10 years.
Van Holsbeeck's murder has gained widespread media coverage in Belgium in part because of the shocking nature of the crime, carried out in daylight, and in part because the suspects are believed to be North African - raising the debate over immigration.
But it has also raised attention because of the comments from Van Holsbeeck's parents, who have been vocal in their demands that their son's death not be politicised or fuel xenophobia.
Last week, following her son's funeral, Van Holsbeeck's mother told newspaper La Derniere-Heure: "Don't ask me to hate all Arabs. The youths that killed my son are thugs, but don't generalise."
During Sunday's march the parents had asked protesters not to carry any political banners, to walk in silence, and they asked political parties to stay in the background.
Representatives of North African communities in the Belgian capital took part in the protest, officials said.
According to Belgian prosecutors two men of North African origin were suspected of the attack, based on video footage from security cameras at the scene.
Video images of the suspects have been distributed nationwide, but police have yet to announce a breakthrough.
Leaders of the Muslim community in Brussels have expressed their concern at the crime, and at Friday prayers imams called for people to turn in the suspects if they knew who they were.
Van Holsbeeck was stabbed five times in the chest during the evening rush hour on April 12 when he refused to hand over his music player to the attackers in Brussels' central railway station.
Joe Van Holsbeeck was waiting
for friends when he was attacked
Guy Verhofstadt, the prime minister, said the death should not go unpunished to send a signal that such crimes are not tolerated.
"The demonstration is an important signal which I fully back," Verhofstadt said, pledging to "put more effort into combating youth crime."
Police said Sunday's march was the country's biggest demonstration since 1996 when about 300,000 people took part in the so-called White March to commemorate the victims of paedophile Marc Dutroux and to protest against the slow-moving Belgian judicial system.