The demonstrators on Saturday chanted "Freedom for Yulia" and waved the flags of the three main parties opposed to former prime minister Yulia Tymoshenko's rival, President Viktor Yanukovych.
The event was held after the European Court of Human Rights ruled in April that Tymoshenko's August 2011 detention was unlawful.
Clashes broke out in the capital with pro-government activists who had gathered near the rally. Several people were injured, including a Ukrainian television journalist, police said.
Klitschko issued a statement denouncing "agitators" and accused the police of letting the confrontation happen.
Tymoshenko was convicted in October 2011 for abuse of power while prime minister and jailed for seven years. Her supporters and many Western states view the charges against her as political.
Klitschko, whose UDAR (Punch) party has joined Tymoshenko's opposition group in Parliament, said Ukraine's hopes of one day joining the European Union would remain a dream until the day Tymoshenko was released.
"How can this happen if we still have political prisoners?" he demanded at the demonstration.
"That is why I say: freedom for Yulia."
EU delays signing
The European Union has delayed signing a key trade agreement with Ukraine that serves as the first step to Kiev's potential membership in the 27-nation bloc until Tymoshenko and several of her jailed Cabinet allies are released.
She is now also standing trial on new embezzlement and tax evasion charges dating back to the 1990s that could extend her stay in prison by several years.
Tymoshenko's fate has polarised Ukrainian politics and at times turned Parliament into a bickering house of deputies who are unable to get reform legislation passed at a time of rapidly slowing economic growth. – AFP