Belarus, a former Soviet republic closely allied with Russia, has been rocked by strikes and weekly street protests since authorities announced that Lukashenko, who has ruled in authoritarian fashion since 1994, had secured re-election on August 9 with 80% of votes.
The Interfax news agency put the number of protesters at over 30,000. It said about 50 had been detained by the police, and that the mobile broadband signal had been disrupted in parts of the city.
It also said loud noises that sounded like stun grenades had been heard close to the march. A senior police official said last week that officers would reserve the right to use firearms against demonstrators.
Security forces have detained more than 13,000 people since the election, including all significant opposition leaders who have not left the country and clamped down on independent media.
Opposition leader Sviatlana Tsikhanouskaya, who has fled to Lithuania, last week urged Lukashenko to quit by October 25 or face what she said would be nationwide strikes that would paralyse Belarus.