BUFFALO, N.Y. -- A protest was held Monday evening outside the Buffalo Police D-District Headquarters on Hertel Avenue to call for answers from police and Buffalo Mayor Byron Brown.

Protesters said they wanted to know more about the deadly shooting of Jose Hernandez-Rossy by a Buffalo Police Officer earlier this month.

A gun that police said may have been used to shoot the police officer still has not been found, and protesters feel parts of the story keep changing from police.

"There's so many things that they are doing right now that we can't connect the dots," said Taylor Norfolk, a protester. "We demand accountability as citizens. That's all we deserve. We deserve the respect, to be respected as well as we respect them."

The state attorney general's office is conducting a full investigation.