As far as I can tell, Denmark are reporting such a high rate of death from the AZ vaccine relative to the number of doses deployed, that the risk would actually be quite bad compared to driving. However, the absolute numbers are tiny so the uncertainty is enormous. It's quite possible they were just unlucky.
[1] https://www.statista.com/statistics/573861/number-of-traffic...
[2] https://www.thelocal.com/20210318/ten-blood-clot-cases-found...
[3] https://cosmosmagazine.com/health/medicine/covid-19-vaccinat...
> ten cases of blood clots have been found in Denmark in people subsequent to taking the AstraZeneca vaccine.
and later,
> A total of 140,000 people in Denmark have received at least one dose of the AstraZeneca vaccine.
If you extrapolate these numbers you would expect ~410 patients with blood clots from AZ if you gave the vaccine to everyone in Denmark.