She addressed a crowd of over 4,000 people outside Belfast City Hall on Saturday afternoon, days after she announced that she plans to quit Northern Ireland politics because she is "fed up with tribal politics".
The South Belfast MLA does not intend to stand for re-election in 2016.
Ms Lo, who has lived in Northern Ireland for 40 years, had said she was thinking about leaving the region because she doesn't feel safe amid a recent upsurge of hate attacks - including attacks on her personally.
At the rally on Saturday, the politician received a rapturous applause from a crowd chanting her name.
"I am so pleased and so touched to see so many of you come out - not just in support of me obviously - but in support of all our ethnic minorities here in Northern Ireland."
She told the crowd: "I'm not going to go away."
Ms Lo told the crowd that she had been inundated with messages of support.
"My office and home now are just like a florist's shop," she said.
"It's not about me - it's about all of us - we must stand up - stand up against sectarianism and racism."
She said that ethnic minorities needed to feel safe in their homes and feel safe walking down the street.
Meanwhile, one of the speakers at the rally has called for the First Minister to make a public apology over recent comments he made about the Islamic faith.
Mohammed Samaana has worked as a staff nurse at the Ulster Hospital for over a decade. A member of the Muslim community, he has been the victim of racist attacks in Northern Ireland.
Ahead of the rally, he told UTV that the Peter Robinson should apologise publicly for recent controversial comments he made about Muslims.
The DUP leader's comments appeared to defend controversial evangelical pastor James McConnell, whose sermon about Islam is being investigated by police. Mr Robinson has previously insisted his remarks were "misinterpreted and given a meaning that was never intended".
He met with NI's Muslim leaders earlier this week at Stormont Castle, where he apologised in private.
Mr Samaana said the apology should not have been behind closed doors and he is angry that the First Minister has not apologised to all Muslims.
"I heard the insult - but I haven't heard the apology. I heard that he apologised before three men behind closed doors - that's not an apology, " he said.
He wants a public apology and for Peter Robinson to condemn the recent negative comments made by Pastor McConnell.
The pastor likened "cells" of Muslims in Britain to the IRA as he addressed a congregation at Whitewell Metropolitan Tabernacle in north Belfast last Sunday.
He branded Islam a "heathen" doctrine and said it was "satanic" and "spawned in hell".
Mr Samaana said that Pastor McConnell needs to come out and condemn racists and racist attacks.
As well as members of the Muslim community, people from South Africa and Poland were among those who addressed the Belfast crowd.
The incoming Lord Mayor of Belfast Nichola Mallon also spoke and promised to represent everyone in Northern Ireland during her time in office.
Aisling Gallagher, one of the rally's planners, said that the event was organised at the last minute on Thursday afternoon because "something needed to be done."
"There are so many people here who won't stand for this, and will speak up and support the ethnic minorities who are undergoing this persecution - even when our politicians won't."
A smaller anti-racism rally was also held in Londonderry on Saturday.