The group said it believes Sessions' resignation and President Donald Trump's replacement as attorney general are threats to democracy.
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This week, Sessions, who recused himself from the Russia investigation, announced his resignation, stating it was at the request of President Trump.
Sessions' Chief of Staff Matt Whitaker was appointed by Trump to take his place. Whitaker will be the acting attorney general and will oversee the Russia investigation, taking over that role from deputy attorney general Rod Rosenstein.
The investigation is a probe by special counsel Robert Mueller into alleged Russian collusion during the 2016 presidential election.
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In past TV appearances, Whitaker has been critical of the controversial investigation and has even suggested ways to diminish it.
Note: ABC 11's Tim Pulliam is tweeting from the rally. You can follow him @TimABC11