ROME (AP) _ Italy's Roman Catholic Church on Wednesday celebrated its first annual day dedicated to Jewish-Catholic dialogue in a church building where authorities said Jews were sheltered from Nazi persecution during World War II.

The day, set aside by the Italian bishops conference, was marked by the study in parochial schools of the 1965 Vatican document on non-Christian religions, Nostra Aetate (In Our Times).

In Rome, more than 400 people packed a meeting where Rome's chief rabbi, Rabbi Elio Toaff, explained the history and nature of the Jewish faith.

Monsignor Clemente Riva, a Rome bishop who heads the diocesan ecumenical commission, described recent Catholic Church publications and other efforts to encourage understanding of Judaism and realize Catholics' errors toward Jews.

During a brief question-and-answer period, however, an elderly Roman priest, the Rev. Piero Sacco, said, ''I want to know if the Jews have made errors toward us. We have come up with all these documents to become closer to them ... Have they done something to come closer to us?''

''We are invited to think about our own responsibilities on this day. To think about those of others is too easy,'' admonished the moderator, Maria Vingiani, head of the Italian church's Ecumenical Activities Commission. The audience applauded loudly.

An unidentified man chided Riva for not describing ''what Christianity should be.''

''We must have the courage to be ourselves,'' he said, adding that the Catholic Church was ''in a state of ruin.''

Riva responded that he intended to explain the ''method of dialogue'' between the two faiths, rather than the nature of Catholicism.

Mrs. Vingiani said that in holding the day of understanding, ''the Catholic Church is not in a state of ruin ... it (the day) is a recuperation.''

The group read a psalm together at the conclusion of the meeting, held in a Catholic Church building in the former Roman Jewish ghetto.

Italy's Jews number about 40,000 out of a national population of 56 million. The country is overwhelmingly Catholic.

Pope John Paul II went to the main Rome synagogue in 1986 in the first recorded visit by a pope to a synagogue.

Catholic Church policy toward Jews underwent a major change with the 1965 document Nostra Aetate, which officially refuted the charge that Jews bore collective responsibility for killing Jesus.