Demonstrators sang Christmas carols and listened to speeches about immigrants and asylum seekers.
Weekly rallies by a group called Patriotic Europeans against the Islamisation of the West, or Pegida, began in October.
Several counter-demonstrations were being held on Monday.
Chancellor Angela Merkel and other senior politicians have spoken out against the Pegida rallies.
A record 17,500 people have turned out for the latest "anti-Islamisation" rally in the German city of Dresden, according to police estimates.