"According to the information we have, they were planning an attack in Europe with others. But we can't say at this stage whether they were part of an international terrorist group, which we are not excluding," police commissioner Joern Bro, in charge of the case, told AFP.
The arrests were connected to a terror plot uncovered in the Bosnian city of Sarajevo last week by police there, Bro said.
He said the target of the attack was "possibly Denmark", while media reports suggested that it may have been either the British or US embassies in Sarajevo.
A Copenhagen court has ordered the four, all males aged 16 to 20, remanded in custody until November 16 pending a full investigation. Their identities have not been disclosed. "One of them has Danish nationality and the three others grew up in Denmark, but we do not yet know for sure whether they are naturalised Danes. They are all of Middle Eastern origin," Bro said.
Danish media reported that authorities in Bosnia-Hercegovina tipped off the Danish intelligence service PET about the four.
"Large quantities of explosives and weapons armed with silencers were recently discovered in Sarajevo, as well as e-mail correspondence with the four in Denmark," Bro said. "Everything indicates that some of the weapons and explosives seized in Sarajevo were being transferred to another place or country ahead of a possible suicide attack in the near future," he added.
"But we do not know the location or the target of the attack they were planning," he insisted. Last week, a Swede, a Turk and a Bosnian were arrested in Sarajevo on suspicion of being involved in preparing an unspecified terrorist attack.
The Swede, who is originally from Serbia-Montenegro, "has links to two of the four people arrested in Denmark", Bro said. The online edition of Swedish daily Expressen, citing Bosnian police, said the Swede, identified only as an 18-year-old, was planning a suicide bombing against either the British or US embassies in Sarajevo.
He was believed to be part of an "international terror organisation" that could be linked to the four held in Denmark, it said. Earlier this week, Bosnia's deputy security minister, Dragan Mektic, told the Nezavisne Novine newspaper that security services in his country are closely monitoring about 40 people with suspected links to international terrorist activities.