Chinese President Xi Jinping (right) meets Macau chief executive Fernando Chui Sai On in Macau on Friday. Photo: AP

Macau: Chinese President Xi Jinping has warned Hong Kong and Macau to remember they are part of "one China", as pro-democracy campaigners in both semi-autonomous territories call for free leadership elections.

Dozens of protesters marched through Macau's historic centre on Saturday afternoon as Mr Xi wrapped up his two-day visit to mark the 15th anniversary of the handover from Portugal - just days after police cleared the last remaining protest sites in neighbouring Hong Kong.

Residents of all ages walked in the middle of the road through the historic district shouting: "We want universal suffrage" through megaphones, some wrapped in banners and others with slogans painted across their faces.

A protester holds a sign during a pro-democracy protest in Macau on Saturday. Photo: AFP

"I am uncertain about Macau's future, so we have to come out to make noise for ourselves," said Mark Pang, 15, a  high school student who held up an open yellow umbrella - the symbol of the Hong Kong democracy movement.

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The protest march culminated in a public square where about 100 demonstrators remained in the early evening, though some bystanders were confused by the scene.

"Are these people from Hong Kong?" asked one.

Mr Xi warned both territories against a "misguided approach" in a speech on Saturday.

"We must both adhere to the 'one China' principle and respect the difference of the two systems," Mr Xi said at the inauguration of Macau's chief executive Fernando Chui, who was selected for a second term by a pro-Beijing committee in August.

"At no time should we focus only on one side to the neglect of the other. This is the only way leading to sound and steady progress. Otherwise a misguided approach from the beginning, just like putting one's left foot into the right shoe, would lead us to nowhere," Mr Xi said.

He also warned against "external infiltration and interference" to safeguard the stability of Macau. Beijing has accused foreign forces of stirring up the Hong Kong protests.

Security was tight during the trip, with reporters on the airport tarmac waiting for Mr Xi's arrival on Friday not allowed to hold umbrellas and handed raincoats instead.

There were also reports that some visitors and journalists from Hong Kong were denied entry after being told their names were on a blacklist.

AFP