The march began at Bangkok's ThammasatUniversity, a traditional hotbed of discontent.
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Several dozen students briefly rallied against the coup at ThammasatUniversity, according to social media posts.
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Anocha Suwichakornpong's formally-daring second feature begins as a film about making a film about the 1976 ThammasatUniversity Massacre.
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The pair were arrested in August over a satirical play they put on more than a year earlier at Bangkok's ThammasatUniversity.
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The plainclothes men showed up late at night near ThammasatUniversity in Bangkok, casing out the residence where the student activist slept.
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The prison term was raised to 15 years after 1976 student protests at ThammasatUniversity were crushed.
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Saturday's student-led demonstration moved from the campus of ThammasatUniversity to a park next to a grand palace used for royal ceremonies.
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The monarchy remains a sensitive subject in Thai society and Monday's protest prompted a public statement by ThammasatUniversity apologising for the event.
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But Thai political historian Charnvit Kasetsiri at ThammasatUniversity said: How can he bring reconciliation when he is a party in the conflict?
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ThammasatUniversity said last week it would not allow the gathering on its campus, but protesters said they were sticking to their plan.
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Protesters holds up signs during a brief protest against military rule at ThammasatUniversity in Bangkok June 1, 2014.
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Slideshow (5 images) About 3,000-4,000 protesters chanted "Long live democracy" at ThammasatUniversity on the outskirts of Bangkok on Monday night.
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Sept. 19 - Thousands protest at ThammasatUniversity in Bangkok on the anniversary of the 2006 coup that overthrew populist prime minister Thaksin Shinawatra.