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.
The killer had spoken about wanting to kill police but had no apparent link to Islamist radicalism, prosecutors said.
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.
Protesters gathered at the Eiffel Tower before beginning their march
The demonstrators were carrying placards saying "don't touch my police officer", a twist on a well-known French anti-racism slogan.
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.
Police officers have also been hurt in recent protests over allegations of police brutality.
Last month three officers were injured in protests after a Chinese man was shot dead by officers. In February protesters attacked a police station amid widespread anger over the alleged rape of a young black man by French police.
Demonstrators hugged police, some of whom were wearing flowers to remember the dead officer
Who was the victim?
Police officer Xavier Jugelé, 37, was an active campaigner for gay rights, French media report.
An undated image of Xavier Jugelé has circulated on Twitter
Originally from the Loire Valley region in central France, he had been serving in the capital since 2014, French daily Liberation writes (in French).
On 13 November 2015, he was deployed to secure the area around the Bataclan concert hall after the IS attack, Le Parisien writes (in French).
When the venue reopened last November with a concert by Sting, Mr Jugelé was there again, telling the US's People magazine: "I'm happy to be here... We're here tonight as witnesses. Here to defend our civic values. This concert's to celebrate life. To say no to terrorists."
He was in a civil partnership and did not have children, reports say.
What do we know about the killer?
Cheurfi, who had four criminal convictions, was arrested and his home searched in February after an inquiry was opened over reports that he had been talking of killing police and getting weapons, Mr Molins said.
An undated photo of Karim Cheurfi has been circulating
Hunting knives, masks and a GoPro camera were found but this was not considered sufficient proof of his murderous intent.
"At that stage, no link with the radical Islamist movement was apparent," the Paris prosecutor said. "Nothing justified further investigations by my office."
Born on New Year's Eve in 1977 in the Livry-Gargan suburb of north-eastern Paris, Cheurfi was jailed four times for attempted murder, violence and theft.
In April 2001, while driving a stolen car, he fired on and wounded two men who had chased him, one of them a plain clothes police officer.
He last emerged from prison in October 2015 and was living in the eastern suburb of Chelles.
His lawyer described him as psychologically fragile and neighbours in Chelles said he had never shown any interest in religion.
Three members of the gunman's family have been arrested for questioning.
Recent terror attacks in France
- 7-9 Jan 2015 - Two Islamist gunmen storm the Paris offices of satirical magazine Charlie Hebdo, killing 17 people. Another Islamist militant kills a policewoman the next day and takes hostages at a Jewish supermarket in Paris. Four hostages are killed before police shoot the gunman dead. The other two gunmen are cornered and killed by police in a siege.
- 13 Nov 2015 - IS jihadists armed with bombs and assault rifles attack Paris, targeting the national stadium, cafes and Bataclan concert hall. The co-ordinated assault leaves 130 people dead, and more than 350 wounded.
- 13 Jun 2016 -A knife-wielding jihadist kills a police officer and his partner at their home in Magnanville, west of Paris. He declares allegiance to IS, and police later kill him.
- 14 Jul 2016 - A huge lorry mows down a crowd of people on the Nice beachfront during Bastille Day celebrations, killing 86. IS claims the attack - by a Tunisian-born driver, later shot dead by police.
- 26 Jul 2016 - Two attackers slits the throat of a priest at his church in Saint-Etienne-du-Rouvray, in Normandy. They are shot dead by police.
- 3 Feb 2017 - A machete-wielding Egyptian man shouting "Allahu akbar" attacks French soldiers at Paris's Louvre Museum - he is shot and wounded.
- 20 Apr 2017 - A known terror suspect opens fire at police on the Champs Elysees in Paris, killing one and wounding two. He is shot dead - and the assault is claimed by IS.