The five protesters are to remain in custody after the negotiations between the police and other protesters for their release failed.
Those protesting outside were singing patriotic songs and cheering Vukovar.
Drago Adzaga of the Initiative for the Defence of Vukovar, which met at 6 pm before about 100 of its members headed for the police station, said the protesters would meet tomorrow morning in Vukovar's main square to decide on further steps.
The Initiative called on the Croatian public and all war veterans and war victims' associations to light candles in their cities' streets named after Vukovar.
Tight riot police were deployed on Vukovar's streets.