A Russian warship early on Friday twice violated Danish territorial waters north of the Baltic Sea island of Bornholm where a democracy festival attended by senior lawmakers and business people was taking place, the Danish Armed Forces said.
Denmark called the action an unacceptable provocation.
The Russian warship entered Danish waters without authorization at 0030 GMT on Friday and again a few of hours later, the armed forces said in a statement. The warship left after the Danish navy established radio contact, it said.
"A deeply irresponsible, gross and completely unacceptable Russian provocation in the middle of #fmdk," Denmark's Foreign Minister Jeppe Kofod said on Twitter, referring to the Democracy Festival of Denmark.
The annual festival is attended by senior government officials, including Kofod and Prime Minister Mette Frederiksen.
"Bullying methods do not work against Denmark," Kofod said.
The Russian ambassador had been summoned, he added.
There had however been no immediate threat against the festival or Bornholm, Danish defence minister Morten Bodskov told local media, citing the armed forces.
"We must accept that the Baltic Sea is becoming a high-tension area," Bodskov said, adding that this was not the first time Russia had violated Danish territory.
Ukraine's defence minister said last month that Ukraine had started receiving Harpoon missiles from Denmark, deliveries that he said were the result of cooperation between several countries.
On Friday, Ukraine said its forces hit a Russian naval tugboat with two Harpoon missiles in the Black Sea, the first time it has claimed to have struck a Russian vessel with Western-supplied anti-ship weapons.
The Russian embassy in Copenhagen did not immediately respond to a requests for comment by email and phone.
(Reporting by Jacob Gronholt-Pedersen, Stine Jacobsen and Nikolaj Skydsgaard; editing by John Stonestreet and Angus MacSwan)