NATO has contested the claims, saying armed insurgents, not civilians, were killed.
Civilian casualties have long been a source of friction between Afghan President Hamid Karzai and the U.S.-led international force fighting in Afghanistan.
Karzai's office issued a statement condemning the NATO strike.
"Innocent children who were collecting fire wood for their families during this cold winter were killed. Is this the way to fight terrorism and maintain stability in Afghanistan?" Karzai asked in the statement.
The demonstrators shouted "Stop the airstrikes on civilians," said Gen. Khalilullah Ziayi, the police chief in Kunar province.
The coalition is investigating the villagers' allegations that nine civilians were killed on Tuesday following an insurgent attack on a forward operating base in the Pech Valley area of Kunar province.
NATO said coalition forces returned fire after two rockets were fired at the base, slightly wounding a local contractor.
Ziayi had a different account. He said coalition helicopters fired into the mountainous area, killing nine children gathering wood.