The Civil Human Rights Front, which organized the rally, also wanted to help contribute to a drive to raise about $645,000 for the legislator's legal costs, the South China Morning Post reports. About $183,108 was raised during the march.
Hong Kong city courts, backed by Beijing, have already ousted two democracy advocates recently elected to Hong Kong's legislative council, Yau Wai-ching and Sixtus Leung, for failing to swear their oaths of office correctly.
Now, Nathan Law Kwun-chung, Edward Yiu Chung-yim, Lau Siu-lai and "Long Hair" Leung Kwok-hung have been targeted for the same offence.
Led by the four rebel legislators, crowds chanted "sovereignty belongs to the people" as they marched.
"We are here to oppose political suppression," University of Hong Kong student Sarah Chen Sin-yu told the South China Morning Post. "It is very unfair of the government to use taxpayers' money to disqualify lawmakers popularly returned by voters."
In taking the oath of office, new lawmakers are required to swear allegiance to Hong Kong as part of China, which the new lawmakers refused to do in a variety of ways, including by changing the wording of the oath, adding extra phrases, mispronouncing names and displaying contradictory banners.
"We can see that under Hong Kong's rule of law, the government, with its unlimited resources, will use legal procedures to bully leaders and representatives with fewer resources," student leader Joshua Wong told AFP at the rally.
"This has shown that 'One Country, Two Systems' is a failure and we should use the 20th anniversary of the handover to reflect on our political situation," he said.
Organizers claimed the rally drew more than 9,000 but apologized for the low number. Local police put the crowd size at fewer than 5,000. Organizers blamed the relatively small crowd on last month's announcement by hardliner Chief Executive Leung Chun-ying that he would not seek a second term.
In a statement, the government of Hong Kong said it respected the legislators' electoral mandates and the right of Hong Kong citizens to protest, but that taking oaths in the legally prescribed manner is equally important, according to the South China Morning Post.