Attendin the event, the city's mayor called on the United Nations to impose a global moratorium on the death penalty.
The protest was organised after the hanging of Saddam Hussein, the former Iraqi president, on 30 December.
Around 50 demonstrators held up banners near the monument, where gladiators once fought gory battles to death.
"The Colosseum originally was a place of persecution and unspeakable violence," Walter Veltroni, the mayor, said. "But now it is a symbol of peace and reconciliation."
Güncelleme Tarihi: 20 Eylül 2018, 18:16
Saddam' Hussein's execution was denounced virtually across Italy's political spectrum.
Silvio Berlusconi, the conservative opposition leader and former president who sent thousands of Italian troops to Iraq, calling the killing a political error.
Saddam's execution for crimes against humanity also prompting a hunger strike from Marco Pannella, leader of Italy's Radical Party, who thanked the mayor from his hospital bed for lighting up the Colosseum.
Italy is also spearheading a campaign for a United Nations moratorium on the death penalty.
"The execution of Saddam Hussein has stirred a debate," said Michele Lembo, a demonstrator outside the Colosseum.
"We ask people to think about what happened and propose an alternative."
Italy and all other European Union countries have outlawed capital punishment.