Many defiantly covered their faces as they set off from several points in a co-ordinated response to the ban, which the High Court upheld on Sunday.
Metro services, which were attacked by rioters on Friday, have resumed in some parts of the Chinese city.
The masks have become the latest focus in months of pro-democracy protests.
Police use of live bullets against protesters this week, leaving two people injured, has also fuelled the unrest.
Chief executive Carrie Lam introduced the ban by invoking powers dating back to colonial rule by the British.a
Shops could be seen closing early while luxury and chain stores were closed in Causeway Bay.
On Friday, both businesses and railway stations were attacked by rioters.