Protesters in Antananarivo put up barriers in the roads and confronted officers who had earlier stopped them from gathering at a park in the centre of the city. They fired warning shots and tear gas to disperse them.
A security official said that one police officer had been beaten unconscious and his gun stolen.
Organes Rakotomihanantarizaka, the security minister, claimed on state television that a member of Ravalomanana's former national guard tried to assassinate the wife of Andry Rajeolina, the current president who led riots that forced Ravalomanana out of power.
He gave no details and said the would-be attacker had escaped.
Rajoelina was preparing to catch a flight to France.
Meanwhile, a spokesman of Ravalomanana's TIM party said four of their parliamentarians had been arrested during the protest.
"We don't know the reason [for the arrest]. We only know that they are at the national inquiry commission," Raharinaivo Andrianatoandro said.
On Tuesday, the country's transitional administration of Rajoelina banned public protests a day after two Ravalomanana supporters were killed when security forces broke up a rally.
Ravalomanana's supporters have been rallying to demand his return. He was forced to resign last month amid deadly riots.
The former president fled in to exile in southern Africa.
The series of rallies to demand Rajoelina's departure is reminiscent of the daily protests he organised at the start of the year to obtain Ravalomanana's removal.