"PET is aware that among the refugees from Syria/Iraq could be people who sympathize with militant Islam and could consider acting on the encouragement of militant Islamic propaganda to carry out attacks against counties participating in the international coalition against Islamic State, including Denmark," the agency said in a written comment to the local Berlingske newspaper, translated by The Local.
The agency added that the refugees themselves could be targeted by people who hold extreme political views on the question of immigration to Denmark.
Denmark is one of several EU countries reeling from the rapidly escalating refugee crisis, as hundreds of thousands of people flee their homelands in the Middle East, North and Sub-Saharan Africa in the hope of finding refuge in the European Union.
According to media reports, some 3,200 refugees arrived in the country between Sunday and Thursday, although many of them later traveled on to Sweden. A total of 20,000 of refugees are expected to apply for asylum in Denmark in 2015.