The relatives are quoted as complaining they were not able to meet with the ambassador despite an earlier promise.
One of Ali Reza Asghari's wives, Ziba Ahmadi, accused Turkey of kidnapping her husband and handing him over to Israel.
Asghari, a deputy defense minister under the government of President Mohammad Khatami, disappeared on February 7 after checking into a hotel in Istanbul on a private visit.
At least one Iranian official has said that he might have been kidnapped by Western intelligence services.
His disappearance has led to speculation in Western, Israeli, and Turkish media that he may have defected to the West.