The protesters presented a memorandum to a Foreign Office spokesman demanding Pakistan drop out of the alliance, which was announced in December and is seen as the latest sign of a more assertive foreign policy by the kingdom, the dominant Sunni Muslim power in the Middle East.
"Neither the Pakistan army nor the nation is for rent, we will oppose any attempts to sell the army to the house of Saud for a few billion riyals," said Shiite activist Gul-e-Zahra, addressing Friday's rally.
Saudi Arabia announced the coalition last month, naming Pakistan as a member, but Islamabad had initially reacted cautiously saying it needed further details before deciding the extent of its participation.
In a separate rally in the capital, an estimated 1,500 people chanted slogans against Saudi's execution of Shiite cleric Sheikh Nimr al-Nimr on January 2, which sparked a deepening crisis between Riyadh and regional rival Iran.
Small scale rallies against the Saudi coalition were also organised in the eastern city of Lahore, while rival Sunni-led protests were held in Islamabad against Shiite-majority Iran, with demonstrators accusing Tehran of "meddling" in Saudi Arabia's internal affairs.
The protesters chanted slogans vowing to "lay down their lives for the protection of the custodians of the holy cities", a term used for the ruling Saudi family.