Sanaa has been under the control of the Shiite militia, known as Huthis, since September, and President Abedrabbo Mansour Hadi has fled to the southern city of Aden after escaping house arrest in the capital last month.
Saleh, who stepped down in February 2012 after a year-long popular uprising, has been accused of backing the Huthis, who are from the same Zaidi sect of Shiite Islam as he is.
Gathered in Sabiin Square in Sanaa's southern district, near the residence of Saleh's son, Ahmed, demonstrators chanted "The next president is Ahmed" and "Ahmed is our president".
The demonstration passed without incident, a day after militiamen shot dead two protesters taking part in a rally in support of Western- and Gulf-backed Hadi.
Vehicles with loudspeakers urging Yemenis to join the pro-Ahmed rally circulated in Sanaa for two days before the demonstration.
Ahmed is Yemen's ambassador to the United Arab Emirates, but rarely stays in his country's Gulf neighbour.
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The six-nation Gulf Cooperation Council, of which the UAE is a member, had repeatedly slammed the Huthis' "coup d'etat" in Yemen and voiced support for Hadi.
During his father's rule, Ahmed Ali Abdullah Saleh was commander of the elite Republican Guard troops, a body that was dissolved by Hadi. However, most of its soldiers remained loyal to Ahmed.
Saleh has long been accused of attempting to hamper the country's political transition.
Meanwhile, in the capital's north, thousands of pro-Huthi demonstrators rallied in support of a "constitutional declaration" announced on February 6 under which the Huthis dissolved the government and parliament and tightened their grip on power.
Similar rallies have been held every Friday since the declaration was made.
Yemen, a key US ally in the fight against Al-Qaeda, has descended into chaos since Saleh's ouster and the Huthi takeover has raised fears of the country collapsing into a failed state.