He has faced public anger over a $700m (£455m) payment made to his bank account from unnamed foreign donors.
It was discovered last month during a probe into alleged mismanagement at the debt-laden state fund 1Malaysia Development Berhad (1MDB).
Mr Najib has denied any wrongdoing.
Why Malaysians are disillusioned with Najib Razak
Saturday's rally is expected to continue into Sunday and the pro-democracy group Bersih has also called for protests in the cities of Kota Kinabalu and Kuching on the Malaysian side of Borneo.


Kuala Lumpur authorities have rejected the group's application for a permit to protest and Malaysian police have declared the rallies illegal.
Security is tight and eyes will be focused on any possible army intervention.
At the last big rally in 2012, police used water cannon and tear gas to disperse protesters.
Rehearsals will take place this weekend for the former British colony's 58th anniversary of self-rule.
Mr Najib said in a statement on his blog he did not want a "provocation" to be triggered.
He said: "Whatever the disagreements or misunderstandings between us, national day should not be a stage of political disputes."