"Tonight I want to tell all Danish Jews: you are not alone. An attack on the Jews of Denmark is an attack on Denmark, on all of us," said Prime Minister Helle Thorning-Schmidt.
She was speaking near a cultural centre where a gunman opened fire Saturday on a meeting discussing free speech and Islam, killing a 55-year-old film director.
Early Sunday morning, an attack on Copenhagen's main synagogue, reported to have been carried out by the same gunman, resulted in the death of a 37-year-old Jewish man.
The turnout at the gathering Monday evening, happening in chilly darkness, was large by Danish standards.
"There are about 30,000 at the venue, as many as we expected," a police spokesman told AFP about the gathering.
"We insist on living free and safe lives in a democratic country, and this is why we are assembled here tonight," Thorning-Schmidt said at the rally.
"When others try to scare us and tear us apart, our response is always a strong community. We are absolutely determined to safeguard our values."
The suspected gunman, a 22-year-old Dane with gang ties and a violent past, was killed in a shootout with police on Sunday.
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