They can be arrested or just refused entry if they are known to be connected to extremist groups. They should be screened as any other person traveling to Denmark.
If we let them, especially external actors, influence our domestic policy, then they win. Look at what happened to the USA after 9/11. The terrorists won and it’s proof that terrorism works. Not only do the people capitulate to the terrorists, but bad domestic actors use it as a means to push some other (anti freedom) agenda.
The alternative is just laying down and letting medeival assholes decide domestic policies of the secular world. Don’t let terrorism win.