"They've suffered too much already," said Jorge Luis Maresma, 50, who took part in the march.
The U.S. and Cuba do not have diplomatic relations, so they maintain interests sections instead of embassies in each other's capitals.
The Cuban Five are near-constant fixtures in island state media. Havana calls them national heroes and repeatedly demands their repatriation.
Cuba, meanwhile, has held U.S. government development subcontractor Alan Gross in prison for nearly four years, convicted of crimes against the state after he was caught bringing restricted communications equipment onto the island.
Talk of a possible swap has so far come to naught.
On Wednesday night, President Raul Castro and other top Cuban officials attended a concert in honor of the Cuban Five at Havana's Karl Marx Theater.
And a slick music video featuring an all-star Cuban musical cast singing "Tie a Yellow Ribbon Round the Ole Oak Tree," in the style of "We Are the World," has been airing repeatedly on state television.
The yellow ribbon has long been a symbol in the U.S. of people waiting loyally for those at risk or held captive. It was widely to show support for U.S. diplomats held captive in Iran in 1979.