North Jutland Police said that someone phoned in to Gl. Lindholm Skole in the town of Nørresundby shortly before 10am on Tuesday and said they would kill students at the school.
Police quickly arrived at the school and reported that there had not been any violent incidents.
“We are on location at Gl. Lindholm Skole in Nørresundby after a telephone threat. Investigation underway. Nothing serious has happened at the school,” police wrote on Twitter.
Police said that a man called 112 and said "someone will come and kill students at Gl. Lindholm".
Officers are now trying to identify the source of the call.
"We have a massive investigation underway to find out who delivered that message. We are following some leads in the case, but I cannot say any more about the investigation right now," police spokesman Henrik Skals said in a press release.
Skals said there was no indication that the threat would materialize.
"The parents can take it nice and easy. Lessons are still taking place at school," he said.