Burundi has been rocked by turmoil since April when it was announced that President Pierre Nkurunziza would run for a third term.
Nkurunziza was re-elected in July but the violence has since escalated.
The demonstration in Bujumbura, the capital, was led by Vice President Gaston Sindimwo who insisted that Burundi's army is capable of halting violence and protecting all Burundians.
Other protests were in Ngonzi province, Nkurunziza's hometown and a stronghold of the ruling party.
Burundi will never accept the African Union's forces, Sindimwo said.
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"We would like to warn AU troops that the majority of Burundians don't want them and they should not impose themselves on the people of Burundi," Alice Nakuto, a member of the ruling party's militia known as Imbonerakure and who took part in demonstrations in Ngonzi province, told The Associated Press by phone.
Earlier this month 87 people died when three military installations were attacked by rebels who said this week they are fighting to topple Nkurunziza.
Burundi's government has rejected the A.U.'s plans to deploy peacekeepers, describing it as an invasion force.
The African Union says it has written to Nkurunziza urging him to consent to the deployment of a peacekeeping force in Burundi, as fears grow that the country is rapidly sliding toward another civil war.
Ugandan President Yoweri Museveni is scheduled to mediate talks between the fighting sides in Kampala next week.
Fourteen Burundian groups are expected to attend.