"We will remain here until [the international community] finds a solution" for injured and displaced civilians, Maharajah Mahaventhan, another demonstrator said.
The European Union has called for an independent war crimes investigation into the killing of civilians in Sri Lanka and said "those accountable must be brought to justice".
In a statement, the 27-nation bloc said it was "appalled by the loss of innocent lives as a result of the conflict and by the high number of casualties, including children".
It urged the Sri Lankan government to "urgently proceed towards a comprehensive political process."
David Miliband, Britain's foreign secretary, said there had been "very grave allegations" of war crimes on both sides of the conflict and "they should be properly investigated".
Sri Lanka's declaration on Monday that it has crushed the Tamil Tigers marks the end of a conflict that has left more than 70,000 dead and hundreds of thousands homeless.
The International Red Cross, the only neutral organisation that has been allowed to work in the war zone, has for its part described the situation as "an unimaginable humanitarian catastrophe".
The Tamil Tigers had been striving to carve out a separate homeland for ethnic Tamils in the country's north and east. They accused the Sinhalese-dominated government in Colombo of neglecting them.