As a European Union member, Denmark is in the EU trading bloc while the UK no longer is since Brexit, so requirements have changed. An EU and UK EORI (Economic Operator Registration and Identification Number) is mandatory when shipping. Providing these numbers to customs is the only way to clear goods at the borders. If both EORIs are not organised, customs officials will likely hold exported goods at the border, which means your shipment will face delays or, worst case, complete rejection into Denmark. For more, read: What is an EORI Number.
More paperwork is required to ship goods post-Brexit, usually some customs declaration, depending on what goods you ship. Getting this documentation completed properly will be imperative to get your consignment cleared. Shipments that are delayed also accrue fees, adding to your total exporting costs and reducing profit margins. Visit the government advisory page if you would like more information.