Around 1,500 people attended a vigil at the old Legislative Council building in Central to mark the seventh day of mainland activist Li Wangyang's death.
The soul of the deceased comes back home seven days after death, according to Chinese custom.
The vigil came as Chief Executive Donald Tsang Yam-kuen finally broke his silence on Li's death.
"I understand what Hong Kong people think about this incident. Under the principle of `one country, two systems,' the most important thing for me is to defend Hong Kong residents' freedom of expression on this," he said.
"There has been a thorough public discussion in the past few days. I believe the central government and the relevant mainland authorities can definitely listen to the views of the Hong Kong public."
Police said more than 500 people were at the vigil. Those present - mostly wearing black - observed a minute's silence as the vigil began.
To mourn the death of the blind and deaf activist who fought for democracy in China, each protester held a white chrysanthemum and a candle.
An organizer read a letter to Li written by Ding Zilin of the group Tiananmen Mothers during the vigil.
Ding wrote that although she did not know Li personally, the 1989 Tiananmen Square crackdown has brought them together.
Ding demanded that the central government conduct a probe to give Li's family justice.
Lee Cheuk-yan, chairman of the Hong Kong Alliance in Support of Patriotic Democratic Movements of China, said although some local National People's Congress members have written to the central government to ask for a thorough probe, there is much more they can do.
National People's Congress Standing Committee member Rita Fan Hsu Lai- tai said she has written to Beijing to reflect Hong Kong's views.
"The public in Hong Kong has many doubts over the death of Li Wangyang. If these doubts can be resolved, and if some people are held responsible, Hong Kong people will have a better impression of the country," Fan said.
In the mainland, well-known activist Hu Jia said he talked to Shaoyang police chief Li Xiaokui the day after Li died, and he denied Li was killed.
i-Cable played a phone recording of the police chief yesterday, saying: "How is this possible? This is fabricated. China is a democratic society. It is not possible that he [Li] was assassinated."