Led by convenor of the party's legal cell S Sharma, BJP activists took out the rally in the city and raised anti-government and anti-Afzal Guru slogans.
They also burnt Guru's effigy and demanded that the death row prisoner be hanged as the order of the Supreme Court.
The party expressed sympathy with the families of the victims of Delhi High court blast and demanded adequate compensation for the families of the deceased and stringent action against the culprits.
BJP spokesperson Nirmal Kamal urged strict action against those political parties and politicians which are demanding clemency for Afzal Guru.
He said it will set a wrong precedence if those guilty of attack on Parliament are allowed to go scot free.
The party has also taken strong view of the statements being issued by Chief Minister Omar Abdullah in "favour" of Guru.
If there is no check imposed by the Centre on such provocative statements being issued by official functionaries of the state, there is an apprehension that Delhi like blasts can take place also in other parts of country including Jammu and Kashmir, Kamal said.