The government should, if necessary, negotiate with their captors to secure their release, a protester said.
The Islamist group Boko Haram has been blamed for abducting the girls from their school in Chibok, Borno state.
Boko Haram has not yet made any response to the accusation.
The group, whose name means "Western education is forbidden" in the local Hausa language, has staged a wave of attacks in northern Nigeria in recent years, with an estimated 1,500 killed in the violence and subsequent security crackdown this year alone.
Organisers said about 500 people, most of them women dressed in red, braved heavy rain to march to the National Assembly to hand over a letter to complain that the government was not doing enough to secure the release of the girls.
By Will RossBBC News, Abuja
The demonstration was small - just a few hundred people - but emotions were running high.
There has been a great deal of anger in Nigeria because many have the impression that the government is doing far too little to secure the release of the teenage girls who are believed to be in the hands of the Islamist extremist group, Boko Haram. Parents of the abducted students have been left to rely on rumours as officials have said very little.
In the pouring rain, people marched to the National Assembly and delivered their message to the politicians themselves. The Senate President David Mark was there. He told the drenched crowd that the military must do everything within its means to rescue the students.
More rallies are due to be held over the next few days. Some here are determined that the plight of the missing school girls is not allowed to be ignored by the political elite - many of whom send their own children to schools overseas far from the vulnerable students of north east Nigeria.
The protest, labelled the "million-woman march", had been called by the Women for Peace and Justice organisation.
March organiser Mercy Abang told the BBC's Focus on Africa radio programme that the government should do whatever is necessary, even if it meant holding negotiations with the abductors, to make sure the girls returned home "alive - not in body bags".
Anger has mounted in recent days over the abductions. Parents have criticised the government's search and rescue efforts and the number of missing girls has been disputed.
Nigeria's Interior Minister Abba Moro told BBC Focus on Africa that he understood the "outpouring of emotions", but the government could not divulge details of what it was doing to secure the release of the girls.
It had to act in a "discreet" way because the militants had threatened to kill the girls if "certain steps" were taken, he said.
He accused opposition parties of politicising the crisis and said they should work with the government rather than criticise it.
Another march organiser, Hadiza Bala Usman, told the BBC the women wanted to know why soldiers seemed so ill-equipped to find the girls.
She warned that the abductions would discourage parents from sending their daughters to school in an area where few girls are given an education.
Saruta, a woman from Chibok, told the BBC's Newsday that the community was desperate for help.
"For how long are we going to wait for the government to help us? We can't bear it anymore. We can't," she said, breaking down in tears.
On Tuesday, a local official said some of the girls may have been taken to neighbouring states and forced to marry the militants.
Swathes of north-eastern Nigeria are, in effect, off limits to the military, allowing the militants to move the girls towards, or perhaps even across, the country's borders with impunity, says the BBC's Will Ross in Abuja.
The students were about to sit their final year exam and so are mostly aged between 16 and 18.
Boko Haram leader Abubakar Shekau first threatened to treat captured women and girls as slaves in a video released in May 2013.
It fuelled concern at the time that the group was adhering to the ancient Islamic belief that women captured during war are slaves with whom their "masters" can have sex, correspondents say.
Hundreds of mainly women protesters have marched through the Nigerian capital, Abuja, to press for the release of 230 schoolgirls abducted by militants two weeks ago.