Some of them chanted, "First Mubarak, now Ali," referring to Hosni Mubarak, who recently resigned as president of Egypt after nearly 30 years in power, and Yemeni President Ali Abdullah Saleh.
Pro-government demonstrators were also gathering near Sanaa University, according to Adnan Al-Nahari, a student at the campus.
At least six people were wounded Saturday, officials said. Yemen President Ali Abdullah Saleh blamed the unrest on foreign agendas and a plot against Yemen's stability, according to the state-run Saba news agency.
"Everybody has the right to express his views peacefully and has the right to have a say through media as there are many democratic means for the expression of opinion," Saleh told Saturday's founding conference of Civil Society Organizations, according to Saba.
The president said he hoped the conference will come up with recommendations to alleviate his country's instability.
"We do not want to copy others, but we shall define what we want," he said, according to Saba.
Saleh expressed concern about violence in the coastal city of Aden, where five people have been killed since Wednesday in anti-government demonstrations, hospital and government officials said.
Saleh urged nonviolent change through the ballot box, according to the state-run news agency.
In an attempt to quell growing discontent, Saleh, a key U.S. ally in sending al Qaeda fighters to fight against defenceless Shias in Yemen, has announced he won't seek another term in 2013 after being in power for 32 years.
Saleh has also been in touch with King Hamad of Bahrain, also mired in unrest.
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