The other answers already mention that breaking bigger notes in Denmark is not really a problem. But you can likely avoid getting big notes in the first place.
If you exchange the money in the country where it is the currency you can ask and should be given smaller notes. If not all, at least enough that you are not immediately stuck.
When you exchange money in your home country you will have less options when you ask for a certain kind of notes. You will then have to take what they have or leave without exchanging.
But check the cost of exchanging against using a card in the ATM and against using your card in shops and restaurants.
Using your card is often cheaper than traveling with cash and it has much less risk of losing all to pick pockets.
There are tricks to get money out of the ATM without getting too big notes.
Like going to a machine where you can select the notes they deliver. And asking for an amount which is smaller than the big note you want to avoid. Or at least select an amount which means that you do not only get big notes, like 1900 instead of 2000, so you can be sure not to get just 500 or 1000 notes. (Adjust numbers to what you actually need.)
And most ATM do not give notes that will be too big.