Possession of blunt weapons is illegal in Denmark without a specific permit from the police.
Source: Statutory order concerning weapons and ammunition, etc (in Danish), §16 part 1 (9).
General background (not aimed specifically at the OP who seems already to be willing to follow the rules):
The weapons ban enjoys considerable support among the Danish population* and is vigorously enforced. It is not uncommon for first offenders to receive jail sentences for carrying a knife when going out driking. A baton will probably count as less severe than a knife, but even if you manage to walk free, a 3000-kr ($400) fine can be expected. And averring that the weapon is just for self-defense is unlikely to mollify police or judges.
The foundation of weapons policy debate in Denmark is a near-universal consensus that a nightlife where everybody is armed "for self-defense" is less safe for everyone because it increases the risk that trivial drunken altercations will spiral into something tragic, even where everyone thinks they're just defending themselves. Thus, a significant law-enforcement effort goes into keeping such defensive weaponry out of potentially unstable situations such as nightlife or football matches -- on the theory that visible and firm enforcement of the weapons ban will help everyone else feel safe enough not to try to arm themselves in respone.
*) At least, as regards items that are clearly and exclusively weapons. In contrast, there is an ongoing debate about whether our regulation of knives is overbroad; in some cases it has criminalized knives that were genuinely being used as tools rather than weapons, and a relaxation is presently making its way through parliament.