However, the red shirts, who are supporters of Thaksin Shinawatra, the former prime minister ousted in a bloodless coup in 2006, remained defiant on Sunday despite the order.
Veera Musikapong, a protest leader, told the Reuters news agency that the protesters would meet authorities on Sunday to arrange for some traffic to be allowed through, but that the protesters would remain in place until at least Monday.
"We have no choice but to step up civil disobedience until the government listens," he said.
"We are here because this area is a symbol of Bangkok elite. We want to show them they cannot rule without consensus of the people."
In a televised address late on Saturday, Abhisit Vejjajiva had urged the red shirts to return to their main protest site in the capital's government quarter.
"The gathering is violating laws. [We] have issued an announcement asking protesters to leave. The announcement does not mean the government will disperse the protest," he said.
"[We] know that some people want the government to use tough measures but we are all Thai. The government will use international standards starting with soft measures."
The protesters massed in the city's shopping and luxury hotel district on Saturday after 21 days camped out by the government headquarters.
The demonstrations caused traffic jams and forced shopping malls and stores to close.
The occupation of one Bangkok's biggest commercial districts has raised concerns about its impact on tourism and the economy ahead of Thailand's April 13-15 Songkran holidays.
"We have nothing against peaceful democratic protests, but this has affected the normal way of life," Apichart Singka-aree, the director and former president of the private Association of Thai Travel Agents, said.
Abhisit said the government hoped to end the standoff through dialogue, although he refused to rule out invoking emergency rule, which would ban gatherings of more than five people, if the situation worsens.
Previous attemps to end the protest through dialogue have ended in failure as Abhisit has refused to give in to the protesters' demands.
The red shirts say Abhisit's government is undemocratic because it took office through a parliamentary vote after a court stripped Thaksin's allies of power.
Thaksin, a billionaire former telecoms tycoon who lives abroad to avoid a jail term for corruption in Thailand, has regularly addressed the protesters via videolink.
He even rallies supporters through social networking site Twitter and on Saturday he "tweeted" that the protesters should continue occupying the area.