They submitted a list of 5,000 vulnerable Myanmar nationals in Thailand to an embassy official, while police and Special Branch officers oversaw the demonstration.
One demonstrator, 33, said they were worried about the safety of their families’ back home.
Myanmar's military leaders have struggled to gain control of the streets since ousting the government led by Aung San Suu Kyi, whose party won a landslide victory in November elections. She has urged the country's 55 million people to oppose the army's February 1 coup, calling it "an attempt to bring the nation back under military dictatorship".