All are suspected of being held in China, and the protesters fear the growing influence of Beijing.
Under the "one country, two systems" principle Hong Kong is supposed to enjoy high degrees of autonomy from China since it took over from Britain.
Hong Kong authorities said they were conducting a "thorough" investigation.
A government spokesman said they were awaiting a response from the mainland, but stressed the rule of law was the "cornerstone" of Hong Kong society.
Chanting "say no to political kidnapping", the protesters marched to the offices of Beijing's representative in Hong Kong.
"For Hong Kong, this is the first time there has been such a clear violation of Hong Kong's law, a clear violation of 'one country, two systems' principle, that has taken place in such an open manner," Albert Chan, a politician with the pro-democracy People Power Party, told the BBC.
"This is why so many people have come out."
Another pro-democracy politician, Lee Cheuk-yan, said the disappearances were a "milestone for suppression".
The latest to vanish has been Lee Bo, who disappeared late last year and was last seen in Hong Kong.
Pro-democracy politicians and activists believe he was kidnapped and taken to the mainland.
Mr Lee raised the alarm when four of his colleagues at the tiny Causeway Bay Bookstore and related publishing house, Mighty Current, went missing in October.
One of them, publisher Gui Minhai, was last seen in Thailand. The other three were last seen in mainland China.
There has been no official comment from the Chinese government on Mr Lee's case.
But an editorial in the state-controlled Global Times newspaper said some were trying to "hype" the incident "to create estrangement between Hong Kong and the mainland".
Mr Lee is a UK passport holder and the British government said it is "deeply concerned" about his whereabouts. It says it has asked for information from the Chinese authorities.
Thousands in Hong Kong have rallied against the disappearance of five booksellers from a shop known for selling works critical of China.