Before the protesters set off on their march, the Interior Ministry announced that soldiers would be deployed to stop the protesters.
Both Khan and Qadri have been demanding the ouster of Sharif with Khan alleging that last year's general elections were rigged.
"I will lead the march to the PM House. All my supporters should follow me," he said.
He asked women and children to stay behind until asked by him to join the march.
Khan's announcement came soon after a similar decision by Qadri. Khan asked his supporters to remain peaceful and asked law enforcement agencies not to stop the protesters.