PDRC security officers said the explosive was lobbed from a nearby three-storey building.
Army chief Prayuth Chan-ocha said an armed group might be behind sporadic attacks launched during the anti-government protests in Bangkok.
Military police rushed to the scene to inspect the explosion.
The army sent soldiers to help police and the protesters conduct security patrols, and appointed military medical units to be on standby at rally venues.
Around 12,000 protesters were on the streets during the attack. That is a fraction of an estimated 1, 70,000 people who gathered on Monday to launch “shutdown” of the capital campaign in their latest bid to force the 46-year-old premier from office.
Protesters, who seek to rein in the political dominance of the Shinawatra clan in the country, allege that the Yingluck regime is controlled by her fugitive brother, former premier Thaksin Shinawatra who was ousted in a coup in 2006.
They want to install an un-elected “people's council” to carry out reforms before the February 2 snap polls.
Yingluck, however, remained defiant and said that the easy way to oust her would be to cast the ballot in the general elections as other unconstitutional ways could not fix the problems.
She said if the country could pass through the elections, the political conflict would be over.
