The demonstration -- "organised by the authorities," according to one Western diplomatic source -- passed off peacefully but showed the government's hostility to the proposed unit of 228 UN police.
Protesters marched to the French embassy, angry that France had drafted the UN resolution to send the controversial police squad.
One demonstrator carried a banner saying that it was France that needed UN peacekeepers, making a reference to a truck attack in the southern French city of Nice that killed 84 people.
The crowd also demonstrated outside the Rwandan embassy, accusing Rwanda of training Burundi rebels.
Also Read
Yesterday, the UN agreed to send the force of 228 police to the capital Bujumbura and throughout Burundi for an initial period of a year.
The UN police force would be tasked with monitoring security and human rights in coordination with African Union rights observers and military experts.
Burundi has agreed to allow 100 AU rights observers and 100 AU military experts into the country to monitor the crisis, but fewer than 50 have begun work on the ground.
Four countries on the 15-member UN council abstained from the vote, which passed with 11 votes in favour.
The abstentions came from China, Egypt, Angola and Venezuela, which cited the need to secure Bujumbura's consent for the police force.
Burundi has been in turmoil since President Pierre Nkurunziza announced plans in April last year to run for a third term, which he went on to win.
More than 500 people have died, many of them in extrajudicial killings blamed on Burundian police, security forces and militias linked to the ruling party, according to the United Nations.