One banner read: "Your weapons have killed my brothers. We want them back alive."
Police in Guerrero are implicated in the disappearance of 43 students, who were among a group of about 100 people on their way to a demonstration in September. Six people were killed when police fired at the group while they were in buses.
The 43 students were allegedly abducted by police, and handed over to hitmen from a local gang, Guerreros Unidos, who the authorities say killed them. This theory is supported by DNA evidence taken from one body of the missing found in a mass grave.
According to a report in early December by the German daily "taz," a number of firearms seized in connection with the killings were G36 assault rifles - made by Germany's biggest manufacturer of small arms, Heckler & Koch, informs Report citing Deutsche Welle.
Back in 2010, the German government told Heckler & Koch to stop all arms deliveries to Mexico. It came after concerns that guns were ending up parts of the country where Berlin had forbidden weapons exports.
"We call on the German government to sell no more weapons to the Mexican State," said protest leader Felipe de la Cruz on Thursday.
In a separate demonstration, people also gathered outside the Mexican President's residence on Thursday at a vigil for the missing students.
One student at the vigil, Omar Garcia, said: "For us this is not Christmas."