Protesters march for Theo Gray outside St. Clair Shores PD on MLK Day

On a bitter cold Martin Luther King Jr Day, protesters marched outside the St. Clair Shores Police Department demanding justice for Theo Gray who was shot and killed by officers last November.

"This has been so heartbreaking," said Theo's mother, Tracy Gray.

The parents of Theo Gray lead the protesters, who called for the state's new Attorney General, Dana Nessel, to launch an independent investigation into the incident.

"We supported Dana Nessel for Attorney General. She made a speech about accountability and reform," said activist David Bullock.

The deadly shooting took place outside Lakeland Manor Banquet Hall where Gray was attending a baby shower for his unborn child. 

"No one has come out to support our family. No one has apologized to our family," Tracy said.

Gray's family says he took his gun and went outside after someone made a threat against him. Police maintain when they arrived that Gray ignored their demands to drop the gun. That's when a police dog named Axe started running after Gray, ad then police say Gray shot and killed the dog. 

Police say they returned fire and Gray was shot and died from his injuries. The Macomb County Sheriff's Office ruled the deadly force justified. It's an outcome Gray's parents say is wrong 

"We believe that they killed their own dog and they have not released that autopsy and the rest of it is a legal matter which out attorney will take forth," said his father, Theoddeus Gray.

Not only are organizers calling on the attorney general's office to launch an investigation, they're also making claims about the video released in this case.

"We have people who looked at that video, including myself, showing the video was doctored. They put that video together to depict exactly what they wanted to say," said Oliver Gant, Gray family spokesperson.

St. Clair Shores Police would not comment on the protest, and neither would the Macomb County's Sheriff's Office. Fox 2 contacted the attorney general's office and we're told that they are not aware of any requests related to this issue but we will review it, if and when we receive something.

These activists say they will contact Nessel on Tuesday.

"It is our hope that she will do the right thing," Bullock said.