The protest came as opposition leaders prepared to form a new unity government, in a move Andry Rajoelina, Madagascar's president, has called "illegitimate".
'Null and void'
Rajoelina, who toppled former leader Marc Ravalomanana and seized power with military support in March, announced on Sunday that all agreements sponsored by international mediators to form a transitional coalition were "null and void".
And last week, Rajoelina said it would be impossible to share power with political enemies and dismissed Eugene Mangalaza, a man he had appointed as prime minister in October.
The president had offered the job to Mangalaza under heavy international pressure as part of a power-sharing deal signed with his political rivals.
But that deal and a succession of others have fallen through as Rajoelina and three former presidents squabble over the division of key jobs in a consensus government.
Rajoelina later named Cecile Manorohanta, Madagascar's vice-prime minister and a close ally of his, to take over the premiership indefinitely. He has also declared that elections would be held in March 2010.
Foreign countries have said they will re-engage with Madagascar only after a consensus government is established and a road map to free and credible elections is in place.