Thousands of people marched through Milan on Saturday in protest against the Winter Olympics, with a small number setting off fireworks and clashing with police in riot shields.

Demonstrators fired flares and threw stones at police, who dispersed them with water cannon following an otherwise peaceful march the day after the opening Olympic Games ceremony in the northern Italian city.

Protesters had earlier held up banners slamming a range of issues, from the use of artificial snow and tree felling, to a housing crisis in the country's financial and fashion capital.

Critics of the Winter Games complain about the impact of infrastructure on fragile mountain environments, as well as the widespread energy- and water-intensive use of artificial snow.

Others say host city Milan has become unliveable for many, with locals squeezed by soaring living costs amid an influx of wealthy new residents attracted by a tax scheme.

"These Games were promoted as sustainable and cost-neutral," complained Alberto di Monte, one of the organisers of the march, which was called by unions, housing-rights groups and activists.

But with these being one of the most geographically dispersed Games in history – unfolding in several sites spread across the Italian Alps – billions spent were spent to build roads rather than protect the mountains, di Monte told AFP.

The police had been on high alert after violent clashes during a protest in Turin last weekend in which over 100 officers were injured. (AFP)