People can grab it and your personal belongings can be stolen or harmed. Scarves, headwear, and things that dangle from you are bad ideas. They give people something to grab and this could be used to choke you or others. Do not wear high heels, wear shoes that are comfortable for you and enable you to run or walk fast in comfort. Do not bring your entire wallet.
Pickpockets go to protests and demonstrations.
Put money that you need in a pocket close to your body, inside a jacket or in a sock, if necessary. Make no Mess Littering is bad form. It will get you noticed in the wrong way. Use garbage cans and proper receptacles. Being a socially responsible protester makes you that much more credible.