Yes, because the assumption is that the police protects you against any aggressors (i.e. criminals) that might attack you. In Germany (and most Western nations) the state has the monopoly of violence, so it's responsible for protecting you and you aren't allowed to do violence except as a self-defense (i.e. as a last resort and only within reason).
If you bring a shield to a demonstration it means you're expecting to be attacked, which either means you don't trust the police to protect you from aggressive counter-demonstrators (which presumably shouldn't be a reasonable concern) or you intend to start a fight.
I wouldn't say the worry is entirely misplaced, but the general idea is that if you were allowed to bring equipment that protects you from police violence the police would have to apply more violence to subdue you and nobody wants that.
IMO police violence and negligence should be prosecuted more thoroughly (see G20 vs the failure of police to uphold the law during nazi demonstrations in Chemnitz recently) but I don't disagree with the idea in general because at least it means we don't have stand-offs between white supremacists and black activists carrying (semi-automatic) assault rifles like recently in Texas, or shield formations like in Charlottesville.
EDIT: It's the same thing as with gun ownership, really: if guns are so widespread that you have to assume every suspect packs heat, you have to treat every suspect as a potential shooter and be ready to shoot first. If a cop stops your car in Germany, there's almost no chance a weapon will be involved.