But the former president's supporters have been buoyed by widespread international condemnation of what has been called Rajoelina's power-grab.
The African Union has suspended Madagascar in protest, joining the European Union in calling it a coup, while the US and Norway have cut aid.
Raharinaivo Andrianantoandro, a spokesman for Ravalomanana's party, called for independent political reconciliation talks.
"We cannot accept the seizure of power by arms and force," he told the demonstrators.
"We want first of all a return to legal order and the re-establishment of institutions".
The demonstrators had planned to march to the same May 13 square where Rajoelina held months of near-daily protests that pressed Ravalomanana to stand down.
|Rajoelina has been internationally criticised for grabbing power by force [Reuters]
They dispersed, however, when an army vehicle pulled up and fired a shot into the air.
"We have not finished yet!" the protesters chanted in Malagasy, pledging to protest daily throughout the week.
Rajoelina, who became Africa's youngest president at 34, appears to have strong support among the young and poor in the capital. He also has the military top brass behind him.
He is six years too young to be president according to Madagascar's constitution, but says he is president of a transitional authority and not the republic. He has also pledged to organise new elections within two years.
Critics say that is too long to wait and analysts warn that the new leader remains vulnerable to divisions within the army and people.
The months of power struggle have left at least 135 people dead, crippled the $390m-a-year tourism industry and unnerved foreign investors in the key mining and oil sectors.