Dakota Bright was killed after police said he pointed a gun at officers Thursday afternoon in the 6700 block of South Indiana.
But family members at the march, including an aunt who said she identified Dakota's body at the morgue, said he was shot in the back of the head, which caused them to doubt the police version of the shooting.
A statement released by police said that Dakota ran when officers approached after seeing him with a handgun, prompting a foot chase. During the pursuit, the officers shot Dakota, and a weapon was recovered at the scene, police said.
Police and the medical examiner's office confirmed that Dakota was shot in the head, but when contacted Sunday evening, neither would say exactly where the gunshot wound was.
A spokesman for the Independent Police Review Authority — which investigates police shootings — said the death was under investigation but he could not provide additional details.
"We're not doing this for no f - - - - - - money . . ." said Panzy Edwards, Dakota's mother. "We want justice... justice for Dakota."
Edwards plans to march again Thursday at the Daley Center.
About 25 supporters, some wearing T-shirts emblazoned with Dakota's picture, walked the South Side streets Sunday, remembering the high school freshman who loved his family, sports, video games and dressing sharply, often in bright red, his favorite color.
Dakota, who attended Robeson High School, was heading home to his grandmother's house after using the Internet at a friend's home when he was shot, Edwards said.
He was not involved with gangs or drugs, his family said.
Edwards also disputes the claim by police that her son was holding a gun when he was killed.
"He was a teenager, he'd made mistakes in his life, but nothing to deserve this," she said.