The Angry Police Wives group is marching through the city two days after Xavier Jugele was shot twice in the head by criminal Karim Cheurfi.
Two other officers were wounded before Cheurfi was shot dead.
A note defending so-called Islamic State (IS) was found near his body.
Candidates in Sunday’s presidential election have been accused of exploiting the attack politically.
One placard also said “enough police officers killed and burned”, referring not only to Mr Jugele’s death but also a firebomb attack on a police car carrying four officers by suspected drug dealers in a poor suburb of Paris last October.
Two of the officers were seriously wounded in the attack.