They marched alongside friends and family to remember Justo Quintero, 31, in South Pasadena on Saturday.
Quintero was shot and killed on Aug. 18 by the off-duty officer during some sort of confrontation on Arroyo Verde Road.
Investigators say Quintero had a gun and fired the weapon during the incident.
His family is still looking for answers.
"I just want answers. Why did this happen?" said Martha Roszco, Quintero's mother. "I just need answers, and why the police are not doing nothing. They're not arresting this man."
"It's not right, and we want justice, and we will get it. It's not over. It's not over," said Natalie Matute, Quintero's fiancée.
L.A. County sheriff's homicide detectives are assisting the South Pasadena Police Department with the investigation.