Trump has declared interest in taking control of the mineral-rich Danish territory "one way or the other".
"Our country. Our choice. Our freedom," Jens-Frederik Nielsen, the leader of the centre-right Demokraatit (Democrats), wrote on Facebook.
The protest came days after his party won the largest share of votes at Greenland's election.
Earlier this week, Trump again flirted with the idea of incorporating Greenland into the United States.
He has been talking for months about wanting to take control of Greenland, which is part of the kingdom of Denmark.
At a meeting with NATO Secretary General Mark Rutte in the White House on Thursday, the US president further stoked the issue when responding to a reporter's question about his plans for a possible annexation.
"I think it will happen," said Trump, emphasising the island's great strategic importance and the fact that Denmark is very far away from it.
Politicians in Greenland responded with fury.
This is a "completely unacceptable" approach, the incumbent leader Múte B Egede told Greenlandic newspaper Sermitsiaq during Saturday's rally in Nuuk.
People also took to the streets in other towns on the island.
Egede's Inuit Ataqatigiit party suffered heavy losses in Greenland's parliamentary elections on Tuesday, as Nielsen's Demokraatit party became the strongest political force on the world's largest island.
Nielsen campaigned for Greenland's right to decide its own future as it moves toward independence from Denmark.
Underscoring this, his party's election manifesto stated: "Greenland is not for sale. Not today. Not tomorrow. Not ever."
Egede has repeatedly emphasised that his countrymen and women want to be neither Danes nor Americans, but Greenlanders.
Between the Arctic and Atlantic oceans, the island has been controlled by Denmark for about 300 years.
It governs its own domestic affairs but its foreign and defence policies are formulated in Copenhagen.
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