Collins wore a T-shirt with the Twitter hashtag 'BeTrue' on it when he joined thousands of marchers Saturday.
In April, Collins became the first active player in one of the four major U.S. professional sports leagues to come out as gay. He wrote in an article for Sports Illustrated that the decision to go public came when Kennedy marched in last year's parade and Collins didn't feel that he could join him.
Collins also said the Boston Marathon bombing reinforced the notion that things can change in an instant, so he might as well live truthfully.
Collins played for six teams in 12 seasons and becomes a free agent next month.