In reply to JRZ:
There is zero rock climbing here at all, unless you make a trip to Bornholm or over the bridge. I’ve not been to Bornholm as I didn’t ship my trad stuff across; but South Sweden is a feasible day/weekend trip from Copenhagen, albeit a little expensive. In Copenhagen there are a lot of bouldering walls, and Blocs and Walls which has already been mentioned.
Denmark is great in many ways, but really not a climbing paradise.