Kumanjayi White, 24, who had a mental disability, died on May 27 shortly after being forcibly restrained by two plain-clothes police officers inside a supermarket in Alice Springs.
His death has sparked national outcry, with his family demanding an independent inquiry and for the officers involved to be stood down.
Speaking at a rally outside Victoria's parliament on Friday, Mr White's grandfather, Warlpiri Elder Ned Jampijinpa Hargraves, said his grandson was "killed for no good reason."
"What have we done to you. We are supposed to be working together in harmony but (police) are taking away our lives," he said.
"He was not a criminal. He was a quiet, young man."
The rally was also attended by Krauatungalung Elder Uncle Robbie Thorpe, Senator Lidia Thorpe, and Aunty Donna Kerr, the mother of Joshua Kerr.
Ms Kerr spoke of the urgent need for justice, recalling how her own son, an Indigenous man, was found unconscious in his prison cell and later died in August 2022.
"Shame on this country. Shame on what they have done to our kids and families in incarceration. There is not a day that goes past where I pinch myself because my son is never coming home," she said.
"How are we here today, going three years since my boy, now another child, shame. Justice is what we want in this country."
About 300 people attended the vigil on the steps of Victorian parliament, holding signs that read "Who is the real thief?" and "Genocide in progress".
Senator Thorpe said more must be done to stop the "genocide" in Australia, noting it had been five years since the global Black Lives Matter movement was ignited after the police killing of George Floyd in the US.
She vowed to support the family's call for an independent investigation into police.
NT Police on Friday confirmed the officers had not been stood down.
Chief Minister Lia Finocchiaro rejected calls for an external investigation, saying police are the right authority to carry it out coupled with a coronial inquiry.
Vigils have been organised across the nation, including Sydney, Brisbane, and Wollongong on Saturday with events in Perth and Adelaide to follow on Sunday.
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