Ignazio Marino had been advised by Rome's prefect not to use his bicycle any more because of threats from "dangerous organizations" which emerged this week after an anti-mafia sweep revealed a web of dirty deals between political figures and a notorious mobster.
"I have received many words of encouragement as I go about on my bike, people shouting 'hang in there, we're with you!'," he told journalists after arriving at a convention by bicycle, rejecting the offer of a police escort.
"I think it is correct to show normality in a city which is not mafia-ridden but has suffered violent slaps from criminals," he said according to Italian media reports, adding that he would not be told what to do.
"The prefect is not my dad," he joked.
Police arrested 37 people on Tuesday and named 100 people -- including Marino's predecessor Gianni Alemanno -- as being under investigation in a probe into a criminal network which fed on corruption, extortion and fraud.
Marino had dealings in the past with one of the organizations linked to one-eyed gangster Massimo Carminati, a former member of the infamous Magliana crime gang, which wielded enormous influence in Rome in the 1970s and 1980s.
Though he insists he had no knowledge of its criminal activities, and wiretaps showed failed attempts to corrupt him, some critics calling for a vast clean-up in the capital have said Marino should go.
"Do you really think I have engineered a year and a half of radical changes (in Rome) to then say, 'just joking, I'm off to the beach'? Forget it," he told journalists.