The group met in a park on the city's West Side to pray and release balloons in Jenkins' honor before marching to the headquarters.
Eight snippets of raw surveillance video were released Friday afternoon show Jenkins, 19, walking the halls of a Rosemont hotel more than a day before she was found dead in a basement freezer.
WATCH: HOTEL VIDEOS OF KENNEKA JENKINS
The videos, released by Rosemont police, do not show Jenkins walking into the walk-in freezer at the Crowne Plaza Hotel, but do show her in a kitchen alone and then walking out of frame. She appears disoriented and stumbling in the videos.
"There is no camera that shows her physically entering the freezer and no camera angle that is missing or was broken," Rosemont police said in an email late Friday.
Those who marched to FBI headquarters said that they suspect a cover up.
"We want a second look," said Mark Carter, who attended the march. "We're here at the FBI building to ask for a second look to make sure that the tapes weren't altered, to demand that they give us the full tapes, not pieces, not their altered pieces."
READ: ROSEMONT POLICE STATEMENT, SEPT. 15, 2017
Tereasa Martin, Jenkin's mother, plead for an investigation.
"I am just looking for help, that's all I been asking for since day one," Martin said. "Help, because it didn't make no sense, it never made sense from day one."
The group said that they will hold more protests at the FBI and in Rosemont over the next thirty days if law enforcement doesn't release what they called "the unaltered tapes."
They said that they plan to be at both FBI headquarters and in Rosemont tomorrow.
Police have told ABC7 from the beginning of their investigation they do not suspect any foul play is involved in the young woman's death.
Regardless, a total of 25 people were interviewed by police, including eight on Friday, 16 of whom were inside the hotel room during the party, according to a detailed press release from Rosemont police late Friday. Police believe at least 31 people were in the room that night and were still trying to locate 15 of them, working with Chicago police to do so.
"The scene of the incident was processed by evidence technicians to include high precision 3D measurement imaging and crime scene analysis. Our detectives also have created video recordings of the scene to include the believed path Kenneka Jenkins took from the hotel room to the freezer, supported by surveillance video," the Rosemont press release said.
Two video recordings from social media have also been reviewed and sent to a private lab to be enhanced for further examination, the results of which are expected in two weeks. Also, police have sent a preservation of evidence order to Facebook and issued two search warrants for Facebook accounts.
A man and woman checked into the hotel room on Sept. 7 using a stolen credit card obtained via identity theft, Rosemont police said.
At about 1:15 a.m. Saturday, Jenkins appears fine walking into the hotel with friends to attend a party on the ninth floor. At about 3:30 a.m., she is seen in other videos getting off an elevator, bumping into walls and struggling to stay upright.
Police said that they have handed over the hotel video to the Cook County Medical Examiner's Office, which has not yet ruled on the cause and manner of her death. The office has said they are awaiting toxicology results.
FAMILY ASKS QUESTIONS
Less than an hour before the videos were released to the media, Jenkins' mother, Teresa Martin, and her attorneys - Larry Rogers, Jr. and Sam Adams, Jr. - held a press conference imploring the hotel and authorities to release all of the video. They said they plan to do an independent investigation.
Martin and her attorneys were also given snippets of the video, but were frustrated that none show her walking into the freezer. They said they only want to know what happened to Jenkins.
WATCH: KENNEKA JENKINS' FAMILY HOLDS PRESS CONFERENCE
"Serious questions remain as to how she ended up in a Crowne Plaza Hotel freezer and why it took a day and a half for the hotel to find Kenneka," Rogers said.
The hotel has 47 cameras that captured about 36 hours of surveillance video footage.
WATCH SURVEILLANCE VIDEO
Her body was discovered in a basement walk-in freezer early Sunday morning, roughly 24 hours after she was last seen at the party. Drugs and alcohol were present at the party, police said.
Andrew Holmes, a community activist in Chicago who viewed the footage Thursday, said the young woman was alone the whole time she was in the basement and may have been trying to get out. He said she may have thought the walk-in freezer was an exit.
"From me looking at the video, she was trying to find her way back upstairs to the lobby and she was checking the doors just trying to find her way upstairs," Holmes said.
Protesters have been around the Crown Plaza Hotel over the last two days, demanding more transparency from police in their investigation into the 19-year-old's death. Many said they suspect a cover up.
The hotel has offered to pay for Jenkins' funeral expenses, but it was immediately unknown if the family has accepted the offer.