Police had been called to the site by a witness who claimed to have seen 20 drones that later disappeared into the Koege Bay at high speed.
Politiet undersøger droner set i luften over Køge — Midt-Vestsj. Politi (@MVSJPoliti) #politidk https://t.co/aZHpQieLvXJanuary 4, 2025
The officers said the last drones were seen about 1am before they disappeared beyond the sea.
The police said they were trying to determine the total number of drones and their ownership, as no permission had been issued for drone flights in that area at the time they appeared.
They said Denmark's PET domestic intelligence service has also been notified of the incident.
The police are also investigating other sightings of drones amid security concerns linked to suspected Russian hybrid attacks detected in some European countries.
The NATO military alliance has announced an increase to its military presence in the Baltic Sea as a deterrent.
Like Copenhagen, the port town of Koege is located on the eastern shore of the Danish island of Zealand.
The town sits on the Bay of Koege which opens up onto the Baltic Sea.
Drones of unknown origin have repeatedly been spotted above power stations and airports in Scandinavia in recent years, with the authorities unable to clarify who had launched them.
In September, a number of unmanned aerial vehicles temporarily brought operations at Stockholm-Arlanda airport - a key regional transport hub - to a halt overnight.
with DPA