Muslims and Christians took part in the march, vowing to remain united against the al-Qaeda-linked Somali militants, says a BBC reporter in Garissa.
The assault on Garissa University on Thursday killed 148 people.
Five Kenyans have appeared in court for suspected links with the attackers.
The court in the capital, Nairobi, agreed to the prosecution’s request to detain them for another 30 days, while police investigate whether they supplied weapons to the attackers,
A sixth suspect, a Tanzanian, is being held in Garissa.
Last Thursday’s attack was the deadliest in Kenya by al-Shabab, which was formed in neighbouring Somalia about eight years ago.
The militants have promised a “long, gruesome war” against Kenya after Kenya sent troops to Somalia in 2011 to fight them.
The BBC’s Bashkash Jugsooda’ay reports from Garissa, about 150km (90 miles) from the border with Somalia, that protesters promised to co-operate with the security forces to flush out militants who may be hiding in their community.
However, they were also critical of the security forces, saying they were slow in their response to the assault.
They pointed out that both the army and police had bases in Garissa. Yet, four gunmen managed to storm the campus, taking students hostage in dormitories and killing them in a day-long attack.
Kenyans are angry. They feel the government has not done enough to ensure security, especially as there had been material circulating on social media warning about attacks.
Unfortunately it looks like this is leading to profiling of Kenyans of Somali ethnicity – and there are many of them.
The government says the security forces responded swiftly, and saved the lives of about 500 other students.
The security forces also came under heavy criticism at a protest in Nairobi by several hundred university students.
Protesters said they were no longer prepared to be “at the mercy of al-Shabab” and demanded that the government tighten security at universities and schools across Kenya.
Demonstrators also mourned the dead, holding placards which read “You remain in our hearts!”.
A candle-lit vigil is due to be held later in the capital to end three days of national mourning.
There are emotional scenes at a mortuary in Nairobi, as relatives continue to identify the dead.
Militants enter the university grounds, two guards are shot dead
2. Shooting begins within the campus
3. Students attacked in their classrooms while preparing for exams
4. Gunmen believed isolated in the female dormitories
5. Some students make an escape through the fence