The protest in the coastal town came in the wake of a robbery on Saturday in which a group of young people stole a bottle of beer from the shop.
The shop's owner gave chase but ending up being dragged along the road by the thieves' car.
The 43-year-old Chinese man died in hospital in Malaga on Sunday as a result of the injuries sustained in the incident.
Three men and one woman, all aged 18 and 19, were later arrested on suspicion of involuntary manslaughter, violent robbery, and failing to provide emergency first aid, according to regional newspaper Diaro Sur.
Two of these suspects were later released facing charges, local daily La Opinión de Málaga reported on Wednesday.
A third suspect was released on bail while the fourth member of the group is being held without bail, the newspaper reported.
One witness on Tuesday described the horrific attack to Diario Sur.
She said she saw two young people run out of shop in question with the owner giving chase.
"The shop owner put his hand in the car window and they then closed the door.
"They caught him by the fingers and dragged him at least 100 metres," the witness said.
"I haven't been able to sleep for two days because of what I saw. You don't even do that to a dog."
On Wednesday, hundreds of Chinese people gathered in front of the town hall in an action organized by the Chinese Traders Association of Andalusia.
The protestors said their businesses were being increasingly targeted by thieves.
They called for better security and for justice.