Demonstrators had gathered outside a police station on Monday to pay homage to the dead man.
His family denies he attacked an officer with scissors as they responded to reports of a domestic dispute.
A French inquiry is under way. China has made a complaint and is calling for its nationals to be protected.
Father-of-five Liu Shaoyo, who was 56, was shot dead on Sunday night in Paris's 19th arrondissement (district).
The demonstrators also paid homage to the dead man
Police say he attacked an officer with a sharp object as soon as he came to the door and the officer was only saved by his bullet-proof vest. Another officer then shot him dead.
But the family's lawyer says it "totally disputes" this account.
One of the man's daughters told French media that her father, who spoke little French, had gone to the door holding a pair of scissors he had been using to prepare fish.
"They smashed the door in, the shot went off and my father ended up on the floor," she told Le Parisien newspaper (in French).
At least 150 people took part in Tuesday's protest, some shouting "Murderers!"
Protesters spelled out the word "violence" in candles when they gathered on Monday evening
China's foreign ministry lodged an official protest, urging a full French investigation and for Chinese people's "security and rights" to be protected.
France's foreign ministry insisted the safety of Chinese people in the country was a high national priority.
China's intervention is unusual, says the BBC's Hugh Schofield in Paris. The government in Beijing has spoken out in the past about the threat to Chinese tourists in Paris from criminal gangs but this is the first time it has implicitly criticised an action by French police.
Estimated at more than 600,000 people, France's Chinese community is said to be Europe's largest.
The police watchdog is due to interview the family later on Tuesday.
At least 150 people took part in Monday's protest, some shouting "murderers!" at baton-wielding police.
There were accusations of police brutality last month, after a young black man accused police of sodomising him with a truncheon. The police officer in question says any injury inflicted was accidental and an investigation is under way.