The rally, flagged off by former union minister Pon Radhakrishnan in the evening, comes at a time when the opposition parties have launched anti-CAA protests in various parts of the country.
The procession covered nearly six km to reach R S Puram, where the first blast occurred on February 14, 1998, where BJP leader L K Advani was scheduled to address an election rally on that day.
The blasts claimed 58 lives and injured over 200.
Radhakrishnan claimed the state government and police used to disallow such processions for the last 21 years.
However, this year, they allowed them to take out a procession and the BJP thanked the government for this, he said.
The government should come forward to erect a pillar in memory of those who were killed in the blasts, Radhakrishnan said.
He also said the rally was for seeking support for the CAA and to pay homage to those who died in the blasts.
As far as the citizenship amendment act (CAA) was concerned, some political parties were inciting the people against the Act and there was no real support to the signature campaign carried out by DMK president M K Stalin, Radhakrishnan alleged.
There was tight security with more than 3,500 police personnel keeping vigil. There was traffic diversion in the area.