This news was from a substitute host, whose name I didn't catch, on the Michael Savage radio show today. He led off the 3:00 (ET) broadcast by explaining that while the show is hosted from San Francisco, the technical part of the broadcast is managed from Dallas. He said that the sound engineers in Dallas called to report that a memorial march in Dallas, which I guess happened yesterday in connection with the memorial service, was "miles long."
The temp host explained that because of his own talk show, which begins at 5 AM in San Francisco, he starts watching TV news at 3 AM (which means he's starting off the day watching rebroadcasts from the day before.) He could not find one TV station that mentioned the march, and no mention of a march in today's news.
All I found about the topic from a quick look at the internet was an Associated Press report on funerals for the three slain police that mentioned thousands gathered (in total) to mourn and memorialize at scattered locations in Dallas. Nothing in the report about a march, much less one that was miles long. (The AP report has gotten little traction in publications, at least so far, I note from Bing and Google search engines.)
I mention this to emphasize that while it often seems Americans have collectively lost their minds, much of this impression is conveyed by what the major U.S. media report and omit reporting.