Police fired tear gas at a stone-throwing crowd who had gathered outside the police station on Monday holding up photographs of the dead man.
The Nigerian in his 20s died after he jumped from a building where he was selling pirated DVDs in a cafe.
He had fled when he believed police in the cafe were trying to arrest him.
Police say no officers had been in the cafe at the time.
Protests first took place on Sunday when angry migrants gathered outside the cafe and threw stones and chairs at police, AP news agency reports.
A local leader expressed solidarity with Thessaloniki's Nigerian community, Greece's English-language paper Kathimerini reports.
"The tragic death of the young man from Nigeria reminds us all of the difficult days we Greeks experienced a few decades ago when we emigrated to make a living," Prefect Panayiotis Psomiadis is quoted as saying.
"It is the duty of the Greek state, whose development was influenced by emigration, to show sensitivity and attribute blame where necessary."
Last Mod: 21 Ağustos 2007, 12:51