The crowd placed dustbin barricades on the main street leading to the square, but reports suggested that security forces were not visible at the scene.
Rajoelina, a former mayor of Antananarivo, was likely to be joined by other opposition figures who have complained of being left behind in the movement against the president.
The opposition leader said on Wednesday he had abandoned talks with the president to seek an end to the crisis because his rival had failed to show up.
But one of his aides said they were still willing to pursue the negotiations if Ravalomanana would take the effort seriously.
The two sides opened talks on February 21 and agreed a five-point deal to tone down their stand-off.
Odon Razanakolona, the chairman of the Christian Council of Churches in Madagascar, said on Friday that he intended to resume his role as chief mediator, but said "everyone must take responsibility".
He also said there should be no more firing on protesters.
Friday's deaths brought to 98 the number of people killed since political unrest erupted on January 26 when Rajoelina called for anti-government demonstrations.