The protest in the French capital has passed the National Assembly and will end up near the Eiffel Tower.
Now, in their 13th consecutive week, the protests have become a sort of an uprising against the French President, Emmanuel Macron, who is seen as out of touch with common people.
Leaders of the "yellow vest" movement have denounced the police for injuring protesters, but have also struggled to contain violence from their own lines.
A yellow vest protester was severely injured on Saturday in the streets of Paris, as police shot teargas at protesters who were trying to knock down a barrier at the French parliament.
The police source, however, said numbers were higher, with 21,000 demonstrators taking part in rallies outside Paris.
More than 5,000 of Saturday's protesters were in Paris, where there were 38 arrests following widespread rioting that saw several critical governmental and private infrastructure targeted. "He wanted to bat it away so it didn't explode by his leg and it went off when he touched it".
One participant's hand was severely injured when he tried to pick up a so-called "sting-ball grenade" used by police to disperse crowds with teargas, a police source told Reuters.
"We're not children, we're adults", said Hugues Salone, a computer engineer from Paris, among the chanting and placard-waving protesters. This was the 11th time he had marched with the movement, he said.
"This is the second severe injury in as many weeks and will likely inflame tensions between the government and the yellow vest movement", Beardsley reported.
Interior ministry figures issued at 2pm put the turnout across France at 12,100, of whom 4,000 marched in Paris, down on the previous week's figures. Recent polls show Macron's approval ratings are rising.
The first yellow vest day of protest in November brought 282,000 people out on to the streets across France, according to government figures.