Read the latest on this case -- in Spanish -- at CNNMexico.com.
(CNN) -- Mexico City sees its share of protests, but this one was unusual.
One woman wept. Other protesters shouted at the tops of their lungs, demanding answers. Still others showed pictures of their relatives to puzzled passersby.
The protesters who gathered Thursday are relatives of 11 partygoers who went missing more than a week ago from a bar in a posh Mexico City neighborhood known as "Zona Rosa," or Pink Zone. The area has a vibrant night scene with bars, nightclubs and upscale restaurants on every street.
The protesters say their relatives were kidnapped on May 26 as they were partying at Heaven, an after-hours bar in the neighborhood. All 11 disappeared between 10 a.m. and noon, they say.
The bar is only steps away from Paseo de la Reforma, an iconic avenue in central Mexico City. The emblematic Angel of Independence monument is nearby, as are the U.S. Embassy and the financial district.
Guadalupe Dominguez, a relative of one of the missing, said a witness told her the 11 people were kidnapped by armed men who showed up in SUVs, but authorities say there's no evidence of such an incident.
"A young fellow who managed to escape was the one who told us about it, but we don't really know anything else," Dominguez said.
Most of those hanging out at the after-hours bar were in their 20s, except for Yersi Ortiz, who is 16. Maria Teresa Ramos, Ortiz's grandmother, said relatives are mystified and want answers.
"This supposedly happened on Sunday in broad daylight. This couldn't have happened during the day and only a few steps from Reforma Avenue without anybody noticing. There should be surveillance cameras that can show us exactly what happened," Ramos said.
Maria del Carmen Zamudio, another relative at the protest, said the witness told them the young people were all suddenly told to leave.
"The (bar) owner apparently told them that there was going to be a police operation and turned the lights off. He told them to get out, and armed men in black SUVs were already waiting for them outside," Zamudio said.
Police say there was no such operation. Mexico City Mayor Miguel Angel Mancera said authorities are treating the incident as a missing-person case because so far, there's no evidence the young people were kidnapped.
"For now, we haven't been able to confirm how this happened or the specific location where (these young people) were kidnapped. What we have is a missing persons report and the knowledge that they're missing. We have to do something to find them," Mancera said.
Mexico City District Attorney Rodolfo Rios Garza said security cameras at the bar were not working, but authorities are relying on city cameras in the neighborhood.
So far, he said, an analysis of video from the cameras does not show any violence in or around the bar where the kidnapping supposedly took place.
Authorities searched the bar and found illegal drugs but no signs of forced entry or anything that would indicate the young people had been kidnapped, Rios Garza said.
More than 26,000 people have gone missing in Mexico over the past six years as violence surged and the country's government cracked down on drug cartels, according to Mexico's Interior Ministry. Authorities don't have data about how many of the disappearances are connected with organized crime.
The 26,121 disappearances occurred during former President Felipe Calderon's six-year administration, which ended on December 1 when Enrique Pena Nieto assumed the presidency.
The bar has been shut down while the investigation into the disappearances continues. The Mexican attorney general's office has also joined the investigation.
Last month, Malcolm Shabazz, the grandson of civil rights activist Malcolm X, was beaten to death at another Mexico City establishment.
Shabazz, 28, was found just outside the bar by police at 3:30 a.m. one block south of Plaza Garibaldi.
Two bartenders were arrested in connection with Shabazz's killing, the attorney general's office said. Rios Garza said the men work at the bar, The Palace Club, where Shabazz and three people had drinks. An argument ensued when the staff said the bill was $1,200. Shabazz was beaten while another man was threatened and stripped of his belongings, Rios said.
CNN's Steve Almasy and Catherine E. Shoichet contributed to this report.