Badawi, whose wife and three children live in Quebec, was sentenced to 1,000 lashes and 10 years in jail for his criticism of Saudi clerics.
Demonstrators gathered to hand over the letters and petitions, which come from about 20 different countries, primarily Canada.
But unlike the first time they tried something similar earlier in the year, Saudi officials wouldn't open the door.
Amnesty International said the timing was deliberate, with a new Liberal government to be sworn in on Wednesday.
Badawi's wife, Ensaf Haidar, says she would like prime minister-designate Justin Trudeau to work to end her husband's detention and help him return to Canada.
Hopeful he'd be released when the year began, Haidar said she doesn't see "a bright side'' now.
"I would like for Mr. Trudeau to work on (the file), talk to Saudi Arabian government officials directly and ask that Raif be released from prison,'' Haidar said. "I hope soon Raif will be free with us.''
Beatrice Vaugrante, head of Amnesty International's Francophone branch based in Quebec, was with Haidar in February when she met with Trudeau, who condemned Badawi's "inhumane treatment'' and called for the Canadian authorities to do more to secure his release.
"We can hope that between February and now, there hasn't been a change in that position and now that Mr. Trudeau will be prime minister, he will take a clear position and intervene,'' Vaugrante said.
Vaugrante called it "extremely disappointing, even alarming'' that the embassy would not accept the letters, and wondered if it meant communication channels were becoming more rigid.
Last week, Badawi won the Sakharov Prize, a prestigious human rights honour from the European parliament.
Badawi was arrested in 2012, convicted in 2014 and received 50 of the 1,000 lashes in January during a public flogging.
Haidar, who now lives in Sherbrooke, Que. with the couple's three children, fears the lashes are to resume shortly.