The interesting thing is that it is actually against Danish law to "threaten, taunt, etc" people based on their race, color, national or ethic origin, religious belief or sexual orientation (straffeloven paragraph 266) if the messages have been said (or printed) in public or with the intent of wide distribution. In 2003 four people were given suspended sentences for violating this law.

In addition it is a violation of paragraph 140 to publicly taunt or make fun of the belief or (religious) practices of any legal religious society. Nobody has been punished under this paragraph since the late 30.

But you are free to deny the holocaust or join a nazi group.