Denmark has no natural caves, just maybe some small sea caves. The reason is very easy: the country is rather flat, not much above sea level, and so there is no posibility for the formation of karst areas. The rocks are several jurassic, cretacious, and triassic sediments, among them limestone and chalk.
The subterranean sights on this pages are artifcial. The cretacious chalk was mined for many reasons. The main reason was the production of lime, a major ingredient of cement and concrete.