Without further context it is clear:
He was with the demonstrators.
So he was among them. Either when they met to plan their demo, or he was walking together with them. But this does not necessarily mean that he was one of them (i.e. sharing their ideas, fighting for the same ideals).
Ernst war gestern bei den Manchester-Fans.
Yesterday, Ernst was with the Manchester fans.
This does not mean, that he was near a place the the fans of Manchester met. No, it means that he was a participant of this meeting. (But this doesn't mean that he is a Manchester fan too.)
But the context can modify this meaning:
Walter nahm seine Kamera und machte sich auf den Weg zur Demo, um für den Fernsehsender Spy-TV darüber zu berichten. Es war Punkt 18:00 Uhr als Walter die Hauptstraße erreichte. Endlich: Er war bei den Demonstranten. Er stelle sich an den Straßenrand und machte ein paar Fotos, dann interviewte er einen Inhaber eines angrenzenden Geschäftes.
Walter took his camera and made his way to the demo to report on it for the television channel Spy-TV. It was at 6:00 pm when Walter reached the main road. Finally: He was next to the demonstrators. He stood at the edge of the road and took a few photos, then he interviewed an owner of an adjacent shop.