Under banners of the two main gay and lesbian advocacy groups Arcigay and Arcilesbica, many held candles and some wore nooses around their necks, dramatizing the fact that homosexuality is punishable by death in nine countries.
More than 80 countries have laws against homosexuality.
France launched an initiative in May for a UN resolution for the universal decriminalization of homosexuality, opposed by the Vatican because it might encourage gay marriage.
Arcigay president Aurelio Mancuso slammed "the bad choice the Vatican has made as a state, not as a church."
Vatican spokesman Federico Lombardi argued that such a resolution "could clearly become a way to pressure or discriminate against those who ... consider marriage between a man and a woman to be the basic and original form of social life."
He said, however, that the Roman Catholic Church opposed "all forms of violent or discriminatory penal law regarding homosexuals.... No-one obviously wants to defend the death penalty for homosexuals."
The Vatican is a foremost campaigner against the death penalty.