Wounded protesters have been sent to nearby hospitals for treatment.
Witnesses said a loud explosion was heard as the PDRC group led by Suthep Thaugsuban was heading back to Pathumwan intersection rally site through Banthat Thong road. The bomb was reportedly thrown from an abandoned building nearby.
Mr Suthep and other core leaders have reportedly disappeared from the scene as PDRC guards and supporters scour the area in search of the attacker.
The explosion is the latest in a series of attacks against the PDRC and its affiliates which have injured many security guards and some passers-by.