In the past, police have broken up anti-government protests with tear gas, water cannons and mass arrests.
Speaking on Thursday Khalid Abu Bakar, the Selangor state police chief, warned the public to avoid the gathering or face "appropriate action".
"I still call on the public not to attend the rally," he said. "It is an illegal rally."
The warning has raised fears of clashes breaking out during the rally which is due to take place amid a highly-charged political atmosphere.
Hatta Mohd Ramli, one of the protest leaders and an opposition MP, said they have informed the federal and state police of the rally and given assurances that it would remain peaceful.
"We have promised the police a peaceful programme and assured them that everything will be under control," he told Al Jazeera. "We also requested police assistance."
Hatta said the organisers have never applied for a police permit because public gatherings are "part of the right of citizens to assemble".
The organisers of Sunday's protest are hoping to see up to 1 million people turning up at the day-long event with stage shows and speeches by opposition leaders.
At the same time there have been fears raised that the rally could be infiltrated by people wanting to cause trouble.
Yap Swee Seng, a human rights activist and part of the organising team, said the change in venue was for security reasons and "to avoid provocation", adding that "fear and anxiety" about possible trouble could cause people to stay away.
Among those expected to speak at the rally is Anwar Ibrahim, the Malaysian opposition leader and former deputy prime minister.
|Anwar said the sodomy charges were part of a government conspiracy [EPA]
Anwar, who is officially an advisor to the opposition party Keadilan, is expected to use the rally to kick-off a road show to clear his name of recent sodomy allegations made by a former aide that has stirred a storm of controversy.
Public anger against the federal government is already running high after petrol prices were increased by 41 per cent and diesel prices by 63 per cent last month, leading to higher inflation and costlier food.
Malaysia has seen a tense political climate since the general elections in March when the opposition made unprecedented gains against the ruling Barisan Nasional coalition, which lost its two-third parliamentary majority for the first time in nearly 50 years.
The political situation heated up further last week following the allegations against Anwar, who dismissed them as a political conspiracy to prevent him from becoming the next prime minister.
Anwar was jailed on a sodomy and corruption conviction a decade ago.
The sodomy conviction was later overturned and Anwar was released from prison in 2004.