Cyprus was stunned after a man confessed to killing seven women and girls, all from overseas, which is believed to be the island's first mass murder.
The authorities are accused of not fully researching when the women were first reported missing.
So far, the corpses of three Filipino women have been found and two lakes combed for more victims.
The suspect, a 35-year-old Greek Cypriot officer, is in custody.
The crime rates in Cyprus are low, and violence against women of this size was not observed outside the war. It has a population of about 890,000.
The Mediterranean island is divided between a northern part of a Turkish Cypriot government and the internationally recognized government in the south of the Greek Cypriots. The search is concentrated southwest of the capital of Nicosia.
In a statement, President Nicos Anastasiades said he was "shocked at the exposure of so many vicious murders of innocent foreign women and young children."
The website Kathimerini Cyprus published a letter of apology to the families of the victims, saying that it was a "crime against the country carried out by an assassin," but "committed by a state and a society that is constantly xenophobic tendencies and racist behaviors develop".
How did it all develop?
Earlier this month, the bodies of two women, Marry Rose Tiburcio, 38, and Arian Palanas Lozano, 28, both from the Philippines, were discovered. They were reported missing last year.
After tracking down Ms. Tiburcio's online messages, an army officer was arrested on suspicion of murder.
He initially denied the murder of a third Filipino woman, Maricar Valtez Arquiola (31
The authorities are now searching two lakes in the south for the corpses of a Romanian mother and her young daughter
Also looking for a six-year-old daughter of Mrs. Tiburcio, who was also the suspect in the murder.
What are protesters saying?
The authorities were accused of not taking the cases seriously because of the origin of foreign women.
The opposition party AKEL called on the police chief and the Minister of Justice to resign.
"An unprecedented indifference was shown simply because these people were not from Cyprus, but from abroad," said AKEL leader Andros Kyprianou
Doros Polycarpou, director of Kisa, a migrant and refugee support group. told Reuters that Cyprus had a "two-tier system" in which "some non-Cypriots do not have the same rights as natives".
"We have repeatedly said that migrants and refugees are particularly vulnerable to our country," she said.
The Cypriot police said they will investigate the case's treatment.
Why are protesters saying?
Maria Mappouridou, a Cypriot chemical engineer, set up a Facebook event for the vigil in response to the murders. She said that 1500 was present.
The organizer said the deaths of women were "a shock" and brought the plight of migrant women to the public.
"I'm afraid to say we did not notice these women who lived here and worked for us and came here to have a better life," she said.
"We have not heard of it, but the question is, were we asked?"
"They were always dismissed as lower ranks because of their usual jobs," one protester said, stressing that neither the government nor the church had organized mourning days for the victims.
Christina Skarpari said she was protesting because she was annoyed at being ruled by a system that could not protect women and society at large.
"The lack of justice, lack of accountability, and inadequate government responses to the deaths of these people make people in my community angry," she said.
"The lack of a systemic approach to local investigations, women's rights, profound racism, sexism, and lack of social justice altogether is representative of a larger loophole in Cyprus and a corrupt mentality that, to a large extent, belongs to the norm," added Mrs Skarpari added.