"The squares will remain our homes until we accomplish our goals -- the exit of all the regime's remnants and building a new Yemen," he said.
The activists said similar protests were held in 17 of the 22 Arabian Peninsula country's provinces, including two of the most populous -- Taez and Ibb.
They say that Saleh's agreement to hand all "necessary constitutional powers" to Vice President Abdrabuh Mansur Hadi with immediate effect and hold office on an honorary basis only for the coming 90 days is not enough and are demanding the departure of the whole regime.
"We did not start a revolution to keep half of the killers," spokesman Walid al-Ammari said on the eve of Friday's rally, adding that Hadi, the low-profile vice president for the past 17 years, is "just another arm of Saleh."
Saleh, who was still in Saudi Arabia after Wednesday's signing of the exit plan drafted by his impoverished country's wealthy Gulf neighbours, condemned Thursday's violence by his loyalists and ordered an investigation.
The 69-year-old, who sustained serious blast wounds in a June bombing of his residence and has already received extensive treatment in Saudi Arabia, is to stay in Riyadh for medical tests, Yemeni Foreign Minister Abu Bakr al-Kurbi told the kingdom's Al-Watan daily.
"No specific date has been set for his departure, as this depends on the results which will determine if he will be treated in the kingdom or in the United States," Kurbi told the newspaper.
"If the results are reassuring, he will return to Yemen."
UN chief Ban Ki-moon, whose Yemen envoy Jamal Benomar was instrumental in persuading Saleh to sign the Gulf transition plan after months of prevarication, had said he expected the president to travel to New York for treatment.
Tens of thousands of Saleh's supporters held a massive counter-demonstration on the capital's Sabiin Avenue Friday demanding change "only through the ballot box" -- a constant refrain of the president during his long months of refusal to sign up to the exit plan.
But analysts said that the numbers taking part on both sides were down on previous Fridays -- the traditional day of prayer and protest in Muslim Yemen -- as the silent majority watched to see how the transition deal plays out.
Fierce clashes erupted in the capital before dawn between dissident troops of the First Armoured Brigade led by General Ali Mohsen al-Ahmar and members of the central security services commanded by Saleh's nephew Yehya, residents said.
The mortar and machinegun exchanges broke out outside the residence of Vice President Hadi, who assumed Saleh's executive powers under the transition deal.
The fighting, which spread to the heart of the capital, lasted more than two hours. There was no word on any casualties.
Saleh's long equivocation over signing the transition deal, which the opposition first signed back in April, saw the protests slide into deadly clashes between loyalist and dissident troops and tribesmen that have riven the capital and left the armed forces deeply divided.
Besides Yehya, the president's son Ahmed commands the Republican Guards and Tariq, another nephew, controls the presidential guard.
But two major army divisions -- one in Sanaa and one in Taez -- rallied to the opposition and have fought repeated battles against Saleh's loyalists, leaving scores dead.
Under the Riyadh deal, Hadi is charged with forming a comittee to oversee the reunification of the security forces within 90 days, one of the biggest challenges facing the transition.