People keep saying this. It's true of the vast majority of protests. And yet, they keep happening, and I don't think it's because they're completely ineffective.
I'll grant I don't entirely get it either, but here's my theory of how they work: by being a show of unity, protests are an honest signal of power. In any case where the party being protested against is not willing to cause mass civilian casualties, unified rebellion is a genuine threat. It's an even bigger threat in a democracy, or a commercial setting. It's also a signal of willingness to accept costs (not guaranteed honest, but it's still pretty hard to coordinate a bluff in public).