The 18-year-old student, who suffered a gunshot wound to his left chest, is now in stable condition after undergoing surgery.
Outside the school in Tsuen Wan, alumni unfurled a large black banner that accused the police of trying to murder the student.
Some of them folded origami cranes to wish the injured student a speedy recovery.
Some students wearing gas masks joined the protest before their classes.
One student said he never imagined such an incident happening in Hong Kong and the increasing level of violence used by police was becoming too much.
The school’s principal, Tse Yun-ming, said he would give full support to the injured student and his family.
But he did not comment on the police action, saying he needed more time to find out what happened.
He said the school had arranged psychologists and social workers to counsel students who are emotionally disturbed.
He added that students who wish to boycott classes on Wednesday could stay at the school hall.
A statement issued by the school appealed to students to be careful and stay away from danger when taking part in public events.