The government should, if necessary, negotiate with their captors to secure their release, a protester said.
The Islamist group Boko Haram has been blamed for abducting the girls from their school in Chibok, Borno state.
Boko Haram has not yet made any response to the accusation.
The group, whose name means "Western education is forbidden" in the local Hausa language, has staged a wave of attacks in northern Nigeria in recent years, with an estimated 1,500 killed in the violence and subsequent security crackdown this year alone.
'No body bags'
Organisers said about 500 people, most of them women dressed in red, braved heavy rain to march to the National Assembly to hand over a letter to complain that the government was not doing enough to secure the release of the girls.
It is not clear why the rescue operation is not making headway considering the fact that there's a clear idea of the perimeter area where these kids were taken in the first week: to the Sambisa forest. And the camps of the insurgents are within the Sambisa forests.
Information is coming out that our own soldiers are not well equipped, that they do not have the ammunition required to do this - how come our soldiers are having some of these challenges in the field?
What matters is you're having 200 young girls abducted so people need to rise above politicising an issue like this. We need to understand that these are lives we are talking about.
When you look at the north-east and when you look at girls' education there, it's very low. Parents are going to be very apprehensive about allowing their girls to go to school. Indeed there will be a whole generation of girls who will not be educated within that region.
The protest, labelled the "million-woman march", had been called by the Women for Peace and Justice organisation.
March organiser Mercy Abang told the BBC's Focus on Africa radio programme that the government should do whatever is necessary, even if it meant holding negotiations with the abductors, to make sure the girls returned home "alive - not in body bags".
Anger has mounted in recent days over the abductions. Parents have criticised the government's search and rescue efforts and the number of missing girls has been disputed.
Nigeria's Interior Minister Abba Moro told BBC Focus on Africa that he understood the "outpouring of emotions", but the government could not divulge details of what it was doing to secure the release of the girls.
It had to act in a "discreet" way because the militants had threatened to kill the girls if "certain steps" were taken, he said.
He accused opposition parties of politicising the crisis and said they should work with the government rather than criticise it.
Another march organiser, Hadiza Bala Usman, told the BBC the women wanted to know why soldiers seemed so ill-equipped to find the girls.
She warned that the abductions would discourage parents from sending their daughters to school in an area where few girls are given an education.
Saruta, a woman from Chibok, told the BBC's Newsday that the community was desperate for help.
"For how long are we going to wait for the government to help us? We can't bear it anymore. We can't," she said, breaking down in tears.
On Tuesday, a local official said some of the girls may have been taken to neighbouring states and forced to marry the militants.
Swathes of north-eastern Nigeria are, in effect, off limits to the military, allowing the militants to move the girls towards, or perhaps even across, the country's borders with impunity, says the BBC's Will Ross in Abuja.
The students were about to sit their final year exam and so are mostly aged between 16 and 18.
Boko Haram leader Abubakar Shekau first threatened to treat captured women and girls as slaves in a video released in May 2013.
It fuelled concern at the time that the group was adhering to the ancient Islamic belief that women captured during war are slaves with whom their "masters" can have sex, correspondents say.