Dozens of Politkovskaya's colleagues, public figures and admirers of her work gathered at the Troyekurovskoye cemetery on Tuesday.
Politkovskaya was shot and killed at her apartment block in central Moscow.
Prosecutors have linked her murder to her work and many politicians and journalists have described her murder as political.
She won prominence in Russia for her criticism of the government's policies, in particular its conduct of the war in Chechnya.
Nikolai Smirnov, an architect from St Petersburg who flew to Moscow to pay his respects to his favourite writer, said: "She was a unique woman in today's Russia, which has only a small bunch of honest people in politics and journalism.
"Unfortunately, this is the end of an era for Russian journalism and I don't know what will happen to it now that she is dead."
Her murder has highlighted the problems faced by the media in Russia, where the Kremlin has centralised political power.
Vladimir Putin, the Russian president, has limited his public reaction to the murder to promising George Bush, the US president, in a telephone conversation on Monday that an "objective investigation" would be held.
On Tuesday, Putin flew to Dresden - the east German city where he served as a KGB agent in the 1980s - to meet Angela Merkel, the German chancellor, for talks in which Politkovskaya's death is to be discussed.
Andreas Schockenhoff, a foreign policy expert for Merkel's conservatives in parliament, said that Politkovskaya's murder was "a serious setback for the development of democracy in Russia".