Protesters gathered in the Nebraska city on Friday night seeking answers following the death of Kenneth Jones.
Jones, 35, was shot dead by police on Thursday at a traffic stop.
They beamed a photograph of bloodied hands onto the wall opposite the headquarters, with the wording: 'This isn't transparency. Release the footage of the OPD execution of Kenneth Jones.'
The crowd marched through the street in the Old Market, holding up light-up letters spelling 'OPD WHY.'
Police declared the march to be an unlawful gathering and moved to arrest several protesters - some activists said five were taken into custody.
OPD is yet to comment on the march or the arrests.
The crowd dispersed around 10pm, according to KETV.
Earlier OPD had issued a news release about the shooting on Thursday night.
According to police, footage from the body cameras worn by the officers show Jones moving around inside the car as police walked towards it.
OPD said officers used a flashlight to break a car window and they said Jones continued to try to pull away.
During the struggle, OPD said a police officer yelled 'he's got a gun' and then 'Gun! Gun! Gun!'
Four shots were fired seconds later, OPD said.
OPD said officers found a loaded .45 caliber handgun under Jones' body.
They said the case will be presented to a grand jury after the investigation.
Police said Jones was released from the Department of Corrections in 2018.
According to police, he was released for being a felon in possession of a deadly weapon.