A cluster of police officers on bikes looked on as noisy, but peaceful, demonstrators urged them to arrest Cheney, who is promoting his new book "In My Time: A Personal and Political Memoir."
"Detain Dick!" the crowd chanted as cars along a busy downtown thoroughfare honked their horns.
"Do your job, enforce the law!" they shouted later on.
Kate Dyson, a master's student of political science at the University of Alberta, drove more than three hours from Edmonton to take part in the protests.
"He's a self-confessed war criminal, torturer," she said, holding up a photo with the words "war criminal" emblazoned across Cheney's sneering face.
Dyson said Canadian authorities are turning a blind eye by allowing Cheney into the country.
"So that's why it's up to us citizens to draw attention to it in whatever way we can."
She added: "The police officers that are just down the street, they should be waiting to arrest him."
Anti-war activist Thomas Poulsen said he was disappointed Cheney was not arrested.
"I think that it shows our government is willing to kowtow to a pro-war, pro-militaristic, anti-humanitarian agenda," he said.
Many signs referenced interrogation techniques the U.S. government has employed since 9-11, such as waterboarding and sleep deprivation.
Protesters also called on Canada to end its mission in Libya and leave NATO.
At one point, demonstrators pointed fingers at the Fairmont Palliser Hotel, where the event took place.
"Don't harbour war criminals," they chanted.
The former vice-president has vigorously defended interrogation techniques used on detainees during the Bush years, claiming they saved hundreds of thousands of lives.
Cheney was greeted by a larger contingent of protesters at a similar event in Vancouver on Monday.
At one point, that crowd got into a brief scuffle with police when nearly 20 people sat down on a sidewalk, blocking the rear driveway leading into the exclusive Vancouver Club.
The Calgary and Vancouver events were organized by the Bon Mot Book Club.
The club's founder, Leah Costello, said members decided to invite Cheney because of the anniversary of the 9-11 terrorist attacks and the release of his book.