HONG KONG—Police banned a Saturday rally and march planned by the organizers of the biggest turnouts in three months of protests, raising concerns that the city is dialing back on freedom of assembly rights and setting the stage for new, bitter clashes.

In a letter of objection to the Civil Human Rights Front—which has organized three marches that by its estimates drew one million to two million people—police said they were blocking the protest due to concerns about violence after protesters threw Molotov cocktails and set...