Friends and family of Yassar Yaqub, 28, from Huddersfield, laid flowers and displayed a banner in his memory.
He was shot when police stopped a car near junction 24 of the M62 on Monday evening.
Traffic on the motorway slowed as about 100 people, including the dead man's parents, gathered near the site to lay flowers and light candles.
Mohammed Yaqub, Yassar's father said he felt his son was "killed unlawfully".
He said: "He hasn't got a bad past, because he's never been convicted of anything.
"He's never had a charge of him at all. We had a car business, by the way, so all sorts of cars come and go."
"I want answers, full answers, nothing but the truth.
"How can you kill someone like this, at a time like this, without giving him a chance to get out or anything? We're not in America, we're not in third-world countries.
"We'd like to be left to mourn."
Balloons were released into the night sky and the gathering was "very peaceful and respectful" said BBC reporter Ian White, who was at the scene.
The police operation is being investigated by the Independent Police Complaints Commission (IPCC).
In 2010, Mr Yaqub was cleared of attempted murder and a firearms offence after it was alleged that he opened fire on a car in Birkby Hall Road, Huddersfield.
Earlier, Bradford West Labour MP Naz Shah appealed for calm after the shooting sparked a protest.
On Tuesday evening, protesters carrying banners reading "stop the killings" brought traffic to a halt in Leeds Road, Bradford.
Writing on Facebook, Ms Shah said: "I urge our community to remain calm and respect the wishes of the family who have lost their loved one and have appealed for calm and privacy during this very difficult time."
Two men arrested as part of the police operation on Monday have been released on bail, while three more remain in custody.
An Independent Police Complaints Commission (IPCC) spokesman said what appeared to be a "non-police issue firearm" was discovered in the vehicle in which Mr Yaqub was travelling.
West Yorkshire Police said officers attended Leeds Road at about 19:15 GMT to "facilitate a peaceful protest and to provide public reassurance".
A force spokesman said: "Police empathise with the heightened tensions and engaged with protestors to appeal for calm."
A spokesman for Mr Yaqub's family said they were "in shock, and distraught" by his death.
Nadeem Murtuja, chairman of campaign group Just Yorkshire, said: "There is a great deal of disquiet in the community about the death of Mr Yaqub.
"It is crucial that both his family and the Huddersfield community are kept informed about the conduct of the investigation and the events that led to the fatal shooting."
Five men were arrested on suspicion of possessing firearm with intent to cause fear during the police operation, including three following the M62 operation and two following a vehicle stop in the Chain Bar area of Bradford.
A police spokeswoman said three of the men remain in police custody while two men, aged 26 and 30, have been released on bail pending further enquiries.
Meanwhile officers have raided "a number of locations" linked to the operation, including a flat at Park Wood Mills in Longwood, Huddersfield.
The force said the searches are part of a wider investigation.
Dozens of people have attended a vigil at the spot where a man was shot dead in a police operation.