One protester said: "I wish the soldiers were on the borders defending the country instead of assuming they have the right to ride roughshod over the fundamental right to demonstrate."
Other protesters chanted: "No to dictatorship, long live democracy."
Protesters came from the National Front for the Defence of Democracy (FNDD).
Abdallahi had been democratically elected and had received the support of the military, but he has remained under house arrest since the coup.
No date has been set for elections despite pledges by the army generals to act quickly to restore democracy.