Well, the context is they paid him to reproduce previous works, such as "An Average Danish Year Income, 2010" [1] which was literally comprised of 278500 Danish Kroner, mounted and framed.
If he's contracted to produce something, and decides to produce something different instead, it seems pretty clear the money wasn't his.
Interestingly, he's not the first artist to frame cash and put it in an art gallery - for example K Foundation's money-as-art works, "Money: A Major Body Of Cash" [2]
[1] https://www.sabsay.com/artists/43-jens-haaning/works/9668-je... [2] https://en.wikipedia.org/wiki/K_Foundation#Money:_A_Major_Bo...