But with a chill wind whipping off Lake Michigan, driving the rain into the faces of demonstrators, it was still an impressive turnout.
In just three days, church groups, trade unions and community organisations turned hundreds and hundreds on to the streets.
It was the biggest protest so far in Chicago, marking the death of Laquan McDonald.
Thirteen months ago the black 17-year-old was shot dead by police.
High on drugs and carrying a knife, several patrols were called to deal with the incident on the city's South Side.
High on drugs and carrying a knife, several patrols were called to deal with the incident on the city's South Side.
Jason Van Dyke was one of the police officers to respond. Within eight seconds of arriving on the scene, he emptied his weapon in the young man from very close range. Sixteen shots.
Reports suggest one of his colleagues told him to stop before he reloaded.
The incident was captured on police dash cam. Repeated requests by the media in Chicago to have the video released were rejected, refused and fought in court.
Until Tuesday. Fourteen months after the fatal shooting. Then it was released. Silent and disturbing. And on the same day the local prosecutor decided Van Dyke should be charged with murder.
This protest targeted "Black Friday". The busiest shopping day of the year in the US, the day after the traditional Thanksgiving holiday.
And they targeted Chicago's 'Magnificent Mile,' Michigan Avenue. The city's busiest shopping area, home to high end designer stores.
At the front, veteran civil rights leader Jesse Jackson. He told me that the point of the protest was to make people sit up. They wanted the resignation of the city's police chief. But they also wanted a change in the policing of the city.
"It's not just the guy who shot him. The nine who watched him didn't try to stop him," he said.
"And also they did not report what had happened – that's the culture. That's the blue code of silence. It makes them less credible. We need a new police infrastructure and culture."
Police wanted to restrict the protestors to one side of the street. But those who'd gathered spread across the wide boulevard, bringing traffic to a standstill.
As they reached the city's famous Water Tower, there seemed to be confusion.
The intention was to close down the stores, to stop people shopping. There were some scuffles, but not more than pushing and shoving. And several of the crowd drifted away, the wet and cold too much.
But from one store it spread.
Demonstrators blocked the doors, stopping anyone getting in. And from there it moved further and further back up the avenue. Some shoppers had no ideas what was happening and couldn't quite understand why they were being blocked.
They argued and pleaded, but the marchers stood firm. Others applauded them, saying that they had a right to express their anger and frustration.
In front of Top Shop there were about a dozen. Some old, some young. Some black. Some Asian. Some white. Some Hispanic. All adding their voices to the call for change.
One of the organisers told me: "We're going to stop the money, the revenue which hurts the city and the state to show them this is going to hurt them in the long run."
After several hours, and at a cost of tens of thousands of dollars, the protesters moved on. Their point made. But with a promise to return.
One of the organisers told me: "We're going to stop the money, the revenue which hurts the city and the state to show them this is going to hurt them in the long run."
After several hours, and at a cost of tens of thousands of dollars, the protesters moved on. Their point made. But with a promise to return.
A promise that this show of political and economic strength over the death of a black man at the hands of the police in the US will be repeated.
Until there is a change in the culture of policing in Chicago. And across America.