The move was prompted after Jenny's companion elephant, Keke, died in May. African elephants are social creatures and need company.
Margaret Morin, founder of Concerned Citizens for Jenny, said that they counted more than 250 rally attendees.
Protesters would rather see the elephant moved to The Elephant Sanctuary in Hohenwald, Tenn. It is the nation's largest natural-habitat refuge.
The zoo said on its Web site that "Africam Safari offers the best total quality care for Jenny." It says that the park is an accredited member of the Association of Zoos and Aquariums.
Slideshow archive | ABC13 wireless | Headlines at a glance