The US is invading, bombing or financing a civil war in a random country every few years, while Denmark are at the corner of the map. Are you going to compare the threat models of the two?
Yeah .. but we (I'm Danish by citizenship) don't apologize because our newspaper prints satirical drawings of some prophet.
The threat model is different. No terrorist attacks of serious kind were performed as of yet but plans were found for terrorist attacks in Copenhagen. Something akin to what happened in Germany. The threat seem real.
Did the police have to break the law to stop those attacks? Because the question is not if a country should have a counterintelligence service, but what legal tools it should be given, whether it should be under judicial control when using them, and how to control it so that it does not abuse the powers (both legal and physical) it is given.