The opposition Maldivian Democratic Party-Jumhooree Party (MDP-JP) alliance, which is organising the rally, said 20,000 people are participating in the demonstration.
Nasheed, 47, the country's first democratically elected leader, was arrested on Sunday on terror charges of ordering the arrest of a senior judge in 2012 that triggered violence in the Indian Ocean island.
A day after he was arrested on February 22, Nasheed was virtually dragged by the security forces to be presented before the Criminal Court, which ruled that the opposition leader will remain in custody until the case against him was complete.
The Maldives Police Service (MPS) and Maldives National Defence Force (MNDF) have threatened legal action against protesters "creating turmoil in Male and participating in disrupting the peace would infringe on the rights of people who reside in Male."
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"We notify that we will find those who come to participate in the protest to disrupt the peace of Male and take legal action against them. Therefore, the security services appeal to those coming to Male from the atolls to act in a way that does not infringe on the rights of people who reside in Male," a joint statement released by the security services said.
Yesterday, Nasheed said he was not a terrorist and nor did he authorise any arrest as he appeared for a late night hearing in a criminal court here.
The prosecutor general presented the evidence and information in the case to Nasheed's lawyers after which the court gave them three days to study the case.
Nasheed took refuge at the Indian High Commission in Male to avoid being arrested in connection with the same case in February 2013.
He became the country's first democratically elected leader in 2008.