Marco Cappa, who heads the youth wing of the European Parliament’s centrist European Democratic Party group, was among those taking part.
“It was so nice that Italians, Chinese and all the communities of foreign people were marching together,” he told the BBC News website.
A solidarity rally was also held in Italy’s business capital, Milan.
The Chinese consul in Florence, Zhou Yunqi, said Chinese people should be “ready to defend themselves”.
“They need to be more aware of the risks they take when they carry sums of money in cash,” he added.
Italian President Giorgio Napolitano has visited Mr Zheng’s widow in hospital to express his condolences.
Gianni Alemanno, Rome’s centre-right mayor, promised a crackdown on crime but he was accused by political opponents of failing to control violent crime in the city.
Marco Cappa called on Mr Alemanno to resign.
“There is the will to stop the crime wave that is sweeping the capital,” he said.
“It is an exceptional security emergency and exceptional should be the response because such a tragedy cannot be unpunished. Yesterday, Romans stood up for this.”
Police are seeking two Moroccan men, aged 30 and 20, who were recorded by CCTV fleeing the murder scene on a scooter.
The older suspect was previously jailed in Italy for robbery and receiving stolen goods but did not leave the country as required at the end of his sentence, the Italian news website Tgcom24 reports.
Here the complete interviews: http://www.bbc.co.uk/news/world-europe-16503447