You don't ever talk to strangers. If you do, its superficial, or e.g. something crazy is taking place in a public space you can't avoid commenting on. So if you're not good at striking up conversation or don't look friendly, you'll simply never meet new people. No-one will talk to you unprovoked, ever.
Therefore, most Danes are only in a single close-knit group with their friends from school, since it's really the only place where you are forced to meet new people. As a result of this, it's extremely hard to "break in" to a new group of friends if you've for example moved to Denmark from another country or just moved to another city.
I suspect most Danes find social gratification through work. We're good at keeping a cosy working culture which involves lots and lots of cake (and alcohol, at parties.)
Most Danes I know maybe talk to one or two friends regularly and are totally content with that. Myself, I only regularly talk to my parents and my work mates – the rest have steadily disappeared from my life.