“The man was stabbed several times with a knife and the North Zealand Police are investigating it as a murder case,” a police press release said.
Police said that the stabbing appeared to be the result of some sort of disagreement between residents at the Center Sandholm.
Police said a 34-year-old man who until recently lived at the centre was a person of interest.
“We've started the investigation and there is nothing in the case that should give rise to insecurity to the neighbours of Center Sandholm,” Commissioner Henrik Gunst said.
Located some 30km north of downtown Copenhagen, Center Sandholm is Denmark’s largest asylum centre and currently has nearly 400 residents.
Police did not release any information about the victim's nationality nor that of the 34-year-old man.
The centre is operated by the Red Cross, which reported the man’s death to police on Sunday.
Police classified the death as ’suspicious’ on Sunday afternoon before confirming the cause of death on Monday.
In September 2015, a stateless Palestinian who was due to be expelled from Denmark was arrested for trying to kill a Danish police officer in a stabbing attack at Center Sandholm.