Make friends with other expats. It's honestly not worth it making friends with Danish people. The only Danish people who will even make an effort to socialize with you will be Danish people who have some sort of international background as well.

Even when Danish people go abroad to study they exclusively hang out with other Danish people. To be fair though, they might hang out with a single Swedish or Norwegian person if they're feeling particularly wild and outgoing.

So don't worry, it's not you, Danish people are just weird and awks as fuck. I've only heard great things about the expat communities in Denmark, especially the student ones, my advise would be to join one of those ASAP. You're also going to have a great time shit talking Danish people.