This comes hours after mobs set buildings on fire and looted a warehouse filled with farm supplies on Tuesday.
Malaysian peacekeepers searched vehicles on a major road near the airport in one of their most robust security checks in recent days.
They blocked a convoy of dozens of trucks and motorcycles carrying flag-waving protesters at first, but eventually allowed them to enter the city under the escort of Malaysian armoured personnel carriers.
"Down with Alkatiri," the demonstrators shouted.
A man using a loudspeaker urged East Timorese to forget their differences and unite: "Give power to President Xanana Gusmao and bring down Alkatiri."
Earlier, hundreds of young men looted a warehouse near the city centre, running off with agricultural machinery, bags of grain, sheet metal and fertiliser.
In neighbourhoods close to the airport, several plumes of smoke rose from buildings set on fire by rampaging gangs.
The prime minister has been
urged to step down
The unrest was less severe than the fighting between military factions and gang warfare that erupted last month, killing at least 30 people.
However, it underscored the challenge for international forces and East Timor's fractured government as they try to restore a sense of normalcy to Dili.
Tens of thousands of fearful residents have fled from their homes and are living in makeshift camps and shelters in and around the city.
Australia has suggested that a long-term UN-backed security force is needed.
The unrest has killed at least 30
On Monday, Jose Ramos Horta, the foreign minister and Nobel laureate, visited several rebel commanders whose dismissal in March helped to start the violence.
Ministry spokesman Chris Santos said: "They had a good talk,"
He gave no details, citing the sensitivity of the situation.
Elections are scheduled for next year, but some East Timorese blame Alkatiri for the turmoil and demand his removal.