Opposition leader Ibrahim called the protest after what he said were "stolen" polls, won by PM Najib Razak's ruling coalition.
The opposition coalition appealed to Malaysians to wear black and attend the rally to express their objection to alleged electoral fraud in Sunday's general election.
Najib's Barisan Nasional (BN) coalition won 133 of the 222 parliamentary seats in the election.
Anwar has accused the Election Commission of "being complicit in the worst electoral fraud in our nation's history."
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He said this was not in accordance with the country's Peaceful Assembly Act (PAA) 2012.
"Under the PAA, the organisers must inform the police of a gathering ten days in advance. This would enable the police to gain feedback from the residents in the area and coordinate manpower to maintain security as well as ensure smooth traffic," he told The Star.
"The best option is to postpone the rally for another 10 days but the organisers refused," he said.
"We will gather evidence and review whether action can be taken against the organisers or participants," he said.
Meanwhile, opposition party director of strategy Rafizi Ramli said the party has complied with provisions of the Peaceful Assembly Act 2012 as it has informed the police about the proposed rally.
"This is in line with normal practice as the rally will be held in private premises. The management and owner of the stadium have agreed to this."
"It also complies with the Peaceful Assembly Act - a permit is not needed for a rally, only the need to inform the police."