Activists from the Other Russia movement stood in front of the embassy to mourn their colleague, Aleksandr Dolmatov, and to challenge Dutch authorities over his death.
Dolmatov was found dead at a center for asylum seekers in Rotterdam last week.
His colleagues say he committed suicide one day after the Dutch authorities rejected his political asylum request.
Dolmatov, a leading designer at a Russian defense firm, had been arrested during an antigovernment protest in Moscow in May but was later released.
The protest led to clashes between demonstrators and police.
Dolmatov left Russia in June after police raided his Moscow apartment.