The players, led by boss Renato Portaluppi, walked out of the tunnel and lined up before the game against Sao Luiz wearing the masks.
"This protest by the players makes implicit our support for the championship to be halted - life must take precedence," said Paulo Luz, Gremio's director of football.
No spectators were allowed into the Gremio Arena for the Gaucho state championship match, which Gremio won 3-2, with the masks not worn during the game.
Manager Renato Portaluppi and Gremio substitutes wear face masks on the bench
The protest comes as players and clubs across South America are starting to complain at decisions by footballing authorities to order games to be played, but behind closed doors.
Flamengo coach Jorge Jesus appealed for football to be halted, saying players needed to be protected because "they are not super-human".
In Argentina, River Plate refused to play their Superliga Cup tie against Atletico Tucuman on Saturday. The Buenos Aires club closed their stadium, leaving match officials and an advance team from Atletico outside the ground.