The organisers, members of the ruling United Malays National Organisation (Umno), say they want to "uphold Malay dignity", leading to fears the march could stoke racial tensions.
It follows opposition rallies two weeks ago demanding that PM Najib Razak step down over a financial scandal.
Unmo said those rallies were attended by anti-government ethnic Chinese.
Race-relations are fraught in Malaysia, where ethnicity dominates politics.
Malays make up about two-thirds of Malaysia's population and play prominent roles in government and the civil service. Ethnic Chinese represent about a quarter of the population but own considerably more than that share of the wealth.
Organisers of Wednesday's march said it was call for respect for ethnic Malays.
"We will not provoke anyone or spark a racial clash. We will not riot," said Jamal Yunos, a key organiser and a senior Umno official.
People attending Wednesday's protests have been asked to wear red - the colour of the ruling party - to counter the distinctive yellow T-shirts worn by protesters at the late August rallies.
