No, the Danes do not like hockey.
According to the Danish federal statistical agency, StatBank Denmark, hockey doesn't even crack the
top 10 sports with the highest participation rate amongst its population. Soccer is the #1 most popular sport by a large margin. Internationally, they tend to do well in soccer, handball, badminton, and cycling.
The Danish populace has absolutely zero interest in hockey. Last year, they only had 5808 registered hockey players against a population of ~5.8M people. By comparison, Finland has roughly the same sized population, but 10x the number of registered hockey players. Even Latvia, a country with roughly one-third of Denmark's population, has close to twice as many registered hockey players.
Canada should be deeply embarrassed to have been upset by the Danes this week. At least when Canada was upset by Latvia at the WC in 2021, someone in Latvia cared.