Several hundred students marched through a city in central Mexico on Thursday to demand justice for a schoolmate who turned up dead after witnesses said he was detained by police.

"He didn't die; they killed him!" the student protesters from Guadalajara and Los Lagos yelled as they marched through Guanajuato, capital of the state of the same name.

State Gov. Miguel Marquez Marquez said he had ordered prosecutors to clear up the death and investigate "to the bitter end."

Initial reports from local police said Ricardo de Jesus Esparza Villegas died from a 10-foot (3-meter) fall from a rooftop where he allegedly intended to break into a home. However, friends said he had been arrested, purportedly for having alcohol on his breath.

The case comes as Mexico is under scrutiny for recent disappearances and killings involving security forces. Forty-three students are missing in the southern state of Guerrero nearly a month after they were attacked by police allegedly in cahoots with a local drug gang. Soldiers face charges in the June killing of 22 suspected gang members after at least some apparently surrendered.

Esparza, a 23-year-old student at the University Center of Los Lagos, traveled to Guanajuato on Saturday with friends for the Cervantino, one of Mexico's most important culture and arts festivals.

The friends say they were celebrating and drinking when they were approached by two local police officers. Esparza was the only one detained. When they went to the station to pay his fine, they were told nobody by that name had been arrested, the friends said.

They looked for him all night and in the morning heard that a young man had been found dead in an alley with nothing but his ID. Municipal police said the body had signs of a blow to the right side of the head, supposedly caused by a fall.

Guanajuato Mayor Luis Gutierrez Marquez said a review of police station records and security cameras showed no arrest of anyone resembling Esparza.

In a statement, university attended by Esparza demanded an investigation.

Guanajuato's rich mines made it one of Mexico's wealthiest cities during the Spanish era and today it is popular with tourists for its pristine colonial architecture and narrow cobblestone streets.