The group carried banners reading We hate Denmark.
They accused Zionists of being behind the cartoons which first appeared in a Copenhagen daily.
Denmark had previously evacuated its embassy and recalled its ambassador to Tehran after receiving credible threats on his life as the row continued over the cartoons.
Parts of the embassy were set on fire earlier this month as protestors hurled hand grenades and Molotov cocktails at the site and chanted Death to Denmark, Death to America, and demanded the closure of the embassy.
Copenhagen announced that the Finnish embassy in Tehran would be in charge of Danish interests in Iran until further notice.
