Three unknown assailants gunned down Ryspek Akmatbayev near a mosque in Bishkek and also wounded two bystanders aged 11 and 18.
One protestor said that gridlocks of dozens of cars long had formed on both sides of the picket.
The protestors are demanding that Akmatbayev be posthumously awarded the status of a Kyrgyz parliamentary deputy and that his mandate be transferred to either the mother or the brother of the deceased.
The Interior Ministry of Kyrgyzstan said the murder was most likely part of a turf war between rival gangs and rejected suggestions that Akmatbayev had been shot in connection with his attempts to take up the parliamentary seat once held by his brother Tynychbek, a prominent legislator, who was killed in October when prisoners rioted at a penal colony he was inspecting.
"The investigation completely rules out a politically motivated murder of Ryspek Akmatbayev," a ministry spokesperson said.
Protestors, who say they will not move until their demands are met, are also calling for the resignation of Prime Minister Felix Kulov and criminal proceedings against him and Deputy Interior Minister Omurbek Suvanaliyev, who they claim helped to organize the murder.
The demonstrator said that the around 3,000 protestors have gathered on the highway, which runs from the city of Karakol near the Chinese border. However, police said no more than 300 had gathered.
Ryspek Aktambayev won a parliamentary seat April 9 with 79% of the vote, but the Central Election Committee refused to endorse the result because a court ruling was pending on his alleged involvement in a triple-murder, establishing a criminal gang and possessing weapons.
Aktambayev, who had a criminal record, had publicly demand the resignation of the troubled Central Asian republic's prime minister, Kulov, who he said had been involved in his brother's killing.
