The protestors gathered at Banga Bhawan on Hailey Road in central Delhi and shouted slogans against the death of Sudipto Gupta of the Students Federation of India, the students wing of the Communist Party of India-Marxist.
"Our demand is that all those involved in the incident should be punished," JNU Student's Union president Lenin told IANS.
Carrying placards and banners, the students also raised slogans against the West Bengal government and criticised its inaction.
Some students also tried to scale the perimeter wall of the building, and were stopped by police.
"This is the first time that a student died in police custody. Action should be taken against the errant police officers," said Siddhartha Kumar, a JNU student and protestor.
Gupta, an activist of the SFI, on Tuesday died of a head injury in the custody of Kolkata Police after participating in a protest.