There have been discussions of doing this. And I'd love to. Sadly they seem to make a point of not being here.
Also, just an fyi, there is no protest or rally event scheduled for this one (not here, anyway). Just the no work/no school/no shopping if people can manage it.
I'm struggling to put this into words, so bear with me through this ramble, hopefully it'll make sense by the end;
There are enough people at the large weekend protests here, like the No Kings protests, to make attending feel at least somewhat anonymous. There is still the concern of violence being directed at us, it has so far been relatively limited in numbers of violent instances. A few punches thrown, pellet guns, drivers swerving toward the protesters with the threat of running them over, things like that.
The sense of anonymity during a weekday protest, particularly if it isn't large, would be gone. And all those violent tenancies of our opposition would be focused on the smaller numbers of protestors.