In Yangon, a heavy security presence was keeping protesters off the streets while cars and buses coming into the city were subjected to searches.
Helicopters have also been hovering over the former capital, and the country's second city of Mandalay.
"Where are the peace and human rights defenders of the world (the super powers)? They haven't done enough in this case. Isn't there oil in Myanmar?"
Lost Soldier, Arusha, Tanzania
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Witnesses in Yangon said thousands of armed police and soldiers were patrolling the city, amid reports that the authorities were continuing to arrest dozens of suspected activists.
A report released on Monday said four journalists were among those held.
The military though has removed barbed wire barricades from Myanmar's holiest Buddhist temple, the Shwedagon Pagoda, a popular rallying point for the monks who led last week's protests.
Al Jazeera's special correspondent in Yangon says the word on the streets is that the lockdown may have choked the democracy protests for now, but they have not been killed off.
The crackdown on anti-government protests began on Wednesday and Myanmar's tightly-controlled state media has admitted that 10 people were killed, among them a Japanese journalist.
Diplomats and activists say the real number is much higher – probably well into the hundreds.
Other reports say scores of monks have been arrested after leading the biggest anti-government protests seen in Myanmar in almost two decades,
On Monday the Association of South-East Asian Nations (Asean), of which Myanmar is a member, wrote a letter to Than Shwe expressing the group's "revulsion" at the violent repression of demonstrators.
"The confrontation that is unfolding in Myanmar will have serious implications not just for Myanmar itself, but also for Asean and the whole region," the letter said.
Asean rarely comments on the internal affairs of a fellow member state, but the letter contains unusually forceful language, highlighting international pressure on the group to take a tough stand.
In the letter, Lee Hsien Loong, the prime minister of Singapore, the current Asean chair, urged Myanmar's military rulers to work towards national reconciliation and help Gambari "try to find a way forward".
So far international condemnation has had no noticeable impact on the Myanmar's government.
On Monday a report in the state-run New Light of Myanmar newspaper, widely regarded as a mouthpiece of the government, blamed outsiders for stirring up the crisis.
"Internal and external destructionists are applying various means to destroy those constructive endeavours by the government and the people and to cause unrest and instability," the paper said.
The United Nations has made no comment on the progress of Gambari's visit, other than to say he "looks forward to meeting" Than Shwe before he leaves the region.
There have also been no details given on his meeting with Aung San Suu Kyi, the Nobel Peace laureate who has spent most of the past 18 years under house arrest.
Myanmar's military rulers, who have previously rebuffed scores of UN attempts at promoting democracy, have also made no comment on the envoy's visit.