The journalists, belonging to both print and electronic media organisations and associations, gathered at Patrakar Sangh in south Mumbai and marched toward Mantralaya.
While assuring the agitating scribes at Mantralaya, Chief Minister Prithviraj Chavan said "The state government is sensitive to feelings of journalists and is doing whatever it can to bring the assailants to book," adding he was personally monitoring the investigations.
Senior journalist Jyotirmoy Dey was shot dead in suburban Powai on Saturday by unidentified assailants.
The newsmen, while demanding a CBI enquiry into the killing, also sought resignation of Home Minister R R Patil and Mumbai police commissioner Arup Patnaik.
Organisations, including the Press Club, Mumbai Marathi Patrakar Sangh, Mantralaya Ani Vidhimandal Vartahar Sangh, Mumbai Crime Reporters'' Association and TV Journalists' Association, participated in the protest.
Earlier today, a delegation of Maharashtra Pradesh Congress Committee (MPCC) met the chief minister at his official residence and appealed him to take urgent and appropriate steps to tackle the growing incidents of attacks on mediapersons in the state.