Chinese President Xi Jinping has urged Macau residents to respect the "one-China" policy during a visit to the former Portuguese colony.
Mr Xi was marking the 15th anniversary of the territory's return to China.
Like neighbouring Hong Kong, Macau is a special autonomous region and has experienced protests by pro-democracy activists this year.
On Saturday, dozens of demonstrators marched in Macau's historic centre, demanding "universal suffrage".
Correspondents say the communist authorities in Beijing do not want Macau and Hong Kong to become hotbeds of dissent.
"We must both adhere to the 'one-China' principle and respect the difference of the two systems," Mr Xi said during his visit, where he was also present at the inauguration of Macau's Chief Executive Fernando Chui.
"This is the only way leading to sound and steady progress," Mr Xi added. "Otherwise a misguided approach from the beginning, just like putting one's left foot into the right shoe, would lead us nowhere."
Six months ago, demonstrators in Macau took to the streets to demand greater democracy. Mr Chui was the only nominee for the chief executive position, and was elected by a 400-person panel.
On Saturday, the protesters also gathered in Macao. "We want universal suffrage!" they chanted.
Some demonstrators also carried umbrellas - a symbol of protest movement in Hong Kong.
In his speech, Mr Xi also referred to Macau's struggling economy.
It is the world's biggest gambling centre, but has seen casino revenues fall about 20% over the past year.
Mr Xi said the territory should reduce its dependence on one sector.
"It is important for Macau to adopt a global, nationwide, future-oriented and long-term perspective," Mr Xi said. "Focus on building a global tourism and leisure centre... promote the Macanese economy's appropriate diversification and sustainable development."
Macau's gambling industry has been in decline for several years.
Analysts say the recent pro-democracy protests in Hong Kong - a short ferry ride away - may have led to further losses in revenue by preventing tourists from visiting.
Activists in Hong Kong wanted Beijing to allow fully free elections for the territory's next leader in 2017. China says everyone can vote but a pro-Beijing committee will screen candidates.
The main pro-democracy protest camp was cleared earlier this month.