It is a local Islamic tradition of remembering the dead, the BBC's Steven Eke says.
There are still disputed versions of what happened in Andijan, with the Uzbek government insisting that the eastern city saw an attempt by radical Islamists to seize power.
Leading human rights groups say many hundreds of civilians were deliberately killed in what Human Rights Watch said was a "massacre".
"As long as there is no international investigation, with access to Andijan, we do not have the full picture," OSCE chairman Dimitrij Rupel said in a statement.
OSCE based its report on 44 in-depth interviews with people who fled Andijan after the violence. The organisation had no access to the city itself.
The report concluded that "force was used repeatedly against unarmed civilians throughout the day".
It said it "was indiscriminate and disproportionate, and that many unarmed civilians were wounded or killed".
Remembrance day
The few reports coming from Andijan speak of a sombre atmosphere, with the relatives of those who died reluctant to speak about how they are marking Forty Days, our correspondent says.
Officials on powerful neighbourhood committees have reportedly told ordinary people not to hold open ceremonies.
Yet the relatives of policemen or government forces who were killed are marking their losses publicly, our correspondent says.
He says that since the events, Andijan is now effectively off-limits, sealed from foreign, especially Western, eyes and ears.
Our correspondent says the US-Uzbek strategic partnership, once lauded by both sides, is tattered, with Uzbekistan's leaders looking instead to Russia and China for public support.
