About 200 people gathered at a downtown Raleigh plaza to protest Trump's decision, as well as his performance in the White House.
Senator Ron Wyden, a Democrat, said: "If you don't release your taxes, we have no way of knowing if you are putting America first, or Donald Trump first".
The president also suggested that the protests were organized by "paid" protesters, citing no evidence.
Critics contend Trump's tax returns would shed light on potential or real conflicts of interest with individuals or businesses with which the government does business - and of particular interest, those with foreign ties.
Two of the largest marches took place in NY and Los Angeles, with each drawing around 5,000 people. It continues. And I think that the American public know clearly where he stands.
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Shortly after Trump's inauguration in January, Kellyanne Conway, senior counselor to Trump, told USA media that Trump would not release his tax returns, citing voters' indifference to the issue as one of the reasons.
They appeared to show that Mr Trump paid $38m (£30m) on an income of more than $150m (£120m).
Toting handmade signs, marchers shouted their discontent regarding the current administration's transparency and potential conflicts of interest due to Trump's global business ties. As the New York Times points out, presidents and vice presidents are automatically audited every year, and it has not prevented previous office holders from releasing their returns.
The Washington, D.C., march began with a rally at the U.S. Capitol, where Sen.
Of course, for the thousands who marched over the weekend, this response from Trump was flawless - an indication that their efforts had not gone unnoticed by the egotistical leader. Not he said the election has happened and he doesn't need to release his tax returns.
The demonstrations came just days before Tuesday's deadline for taxpayers to file their returns.