From Copenhagen Airport (cph.dk):
Arriving from outside EU:
If you arrive at Copenhagen Airport from a country outside of EU and have to continue traveling by airplane, you will have go through the security check.
Please note that the same limitations apply to liquids as any other departure from the airport.
Passengers in transit at the airport who have purchased liquids over 100 ml at either another airport or aboard an aircraft, shall ensure that the liquids are sealed with the STEB (Security Tamper Evident Bag). The receipt for the liquids must be visible in the bag.