James Larry, 32, is charged with killing his pregnant wife, infant son and two nieces Wednesday morning.
His sister has said the suspect believed Islamic text he'd read instructed him to kill someone.
Muslim leaders at Friday night's gathering reject any attempt to link Islam with the murders and have been in touch with surviving family members.
"Part of what we wanted to make sure of was made very loud and clear to them the strong support of the Muslim community in Marquette Park that stands with them, that completely rejects any association of Islam with these horrific acts," said Rami Nashashibi, Inner-City Muslim Action Network.
Prosecutors say Larry has given a videotaped confession to police. He's being held without bond.