Previous marches on Tuesday and Wednesday were prevented from entering the pagoda and they were expected to be barred from the site again on Thursday.
Similar marches have been held elsewhere in the country, and on Wednesday authorities admitted using tear gas and warning shots to break up one gathering of monks in the northwestern city of Sittwe.
A report in the state-run New Light of Myanmar newspaper - seen as a mouthpiece for the government - said security forces had taken action after the protest in Sittwe turned violent.
Myanmar's government has accused anti-government instigators of planting what it calls "bogus monks" to stage the demonstrations.
But human rights groups say the recent wave of protests is a sign of the levels of frustration felt by hundreds of thousands of people in Myanmar at the ruling military.
The demonstrations were sparked by the government's sudden decision last month to dramatically raise fuel prices, causing the cost of transport and many basic commodities to soar.
The protests were initially led by pro-democracy activists, but since many have now been arrested, groups of Buddhist monks now appear to have taken up the lead.
The marches by the monks have not seen any explicit anti-government messages, but witnesses say the symbolism has been obvious to the thousands of onlookers.
The monks have also said they will refuse alms from members of the military and their families – a move seen as an embarrassing snub in Myanmar.
Giving donations to monks is an important spiritual duty for devout Buddhists.
Alms are given by lay people to monks to nurture merit; the gesture also connects the worshipper to the spirituality the monk represents.
Without such rites a devout Buddhist is seen as losing all chance of attaining nirvana or release from the cycle of rebirth.
Monks are an integral part of daily life in Myanmar and are universally revered by its majority-Buddhist population.
Refusal to accept alms effectively amounts to excommunication.
Without such rites, a Buddhist loses a key route to storing up merit and, eventually, escaping the cycle of rebirth and attaining nirvana.
But the growing role of monks in leading anti-government protests is putting Myanmar's military rulers in a difficult position.
Tensions are already high following last month's fuel price hike, and observers say that if the generals decide to crackdown on the monks they risk inflaming public anger even further.
The ongoing of wave of protests in Myanmar have been echoed by growing calls for international action against the country's military rulers.
On Wednesday Hollywood actor Jim Carey placed a video on YouTube calling for the UN to step up pressure on Myanmar's ruling generals to release detained opposition activists and bring democratic rule to the country.
In the video Carey urged people around the world to email Ban Ki-moon, the UN secretary general, demanding a "strong response" to the situation in Myanmar.