As well as demanding an end to the lockdown, some of those attending the rally also held up signs calling for Brazil's Congress and the Supreme Court to be closed down.
Others said they wanted the military to take over the handling of the coronavirus crisis.
Brazil was under military rule for more than two decades from 1964 until 1985 and calls for the armed forces to be given more power are highly controversial.
While the president did not make any reference to those demands at the time, his appearance at the rally - at which people were calling for the closure of the country's democratic institutions - was labelled "provocative" by his critics.
On Monday, however, while talking to journalists, Mr Bolsonaro quickly responded to one of his supporters who called for the closure of the Supreme Court by stating that Brazil was a democratic country. He said that the nation's top court, as well as Congress, would remain open.
Journalists have noted that at Sunday's rally the president neither wore a face mask, even though he coughed on occasion, nor gloves - precautions which many other politicians in the region are taking.
He has in the past dismissed coronavirus as "little more than a flu".