Thousands of protesters marched in the centre of the militia-held capital, chanting "Huthis out" before gunmen discharged their guns in the air and attacked demonstrators with knives and batons.
Two protesters were wounded and 15 others were led away by gunmen to unknown locations, the organisers said.
"Yes to the constitutionally legitimate authority" of Hadi, and "No to the coup," the protesters cried out, referring to the Huthis' capture of Sanaa in September which has been seen as an attempt to overthrow Hadi.
The Western-backed president had fled house arrest in Sanaa last month and resurfaced in the southern city of Aden, where he retracted an earlier resignation he had tendered under pressure.
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After seizing Sanaa in September, the Huthis moved to expand their control to central and southern regions, where they met fierce resistance by Sunni tribes aided by Al-Qaeda militants.
The UN envoy to Yemen, Jamal Benomar, travelled to Aden on today for talks with Hadi.
Benomar spoke of his "disappointment due to the Huthis failure to meet the UN Security Council demand to evacuate government installations (in Sanaa) and release those under house arrest, or detained arbitrarily".