Victorian construction union leader John Setka has threatened to hunt down and "expose" Australian Building and Construction Commission inspectors, warning: "When we come after you, you'd better be careful."

Speaking to a crowd of 20,000 protesters at a rally outside Flinders Street Station on Tuesday, the Victorian CFMEU secretary said the union would campaign to personally humiliate ABCC inspectors.

Mr Setka told the rally: "You know what we're going to do? We're going to expose them all. We will lobby their neighbourhoods. We will tell them who lives in their house and what he does for a living, or she.

"We'll go to their local footy club, we'll go to their local shopping centre.