A top Nazi hunter from the US-based Simon Wiesenthal Centre, Efraim Zuroff, travelled to Denmark in July last year to file a police complaint against Helmuth Leif Rasmussen, over war crimes alleged to have taken place between 1942 and 1943.
"Information has not emerged during the investigation to support the complaint we received from the Simon Wiesenthal Centre," chief prosecutor Steen Bechmann Jacobsen told AFP.
A Danish book released in 2014 claimed Rasmussen worked as a guard in the Bobruisk camp in Nazi-occupied Belarus, citing a police report from 1945.
"We have worked closely with two historians, one of whom is the author of the book," Jacobsen said, adding that the book itself did not prove that Rasmussen had "committed concrete crimes or that he was complicit in any."
Rasmussen, who has since changed his name and now lives in the Copenhagen area, has admitted to being part of a volunteer unit created by the Danish Nazi Party, but has claimed that he only went to Bobruisk as a 17-year-old to undergo military training.
Another Danish man at the camp, who was now a Swedish citizen, had also been investigated but would not be prosecuted, Jacobsen said.
Around 6,000 Danish Nazis volunteered for the Free Corps Denmark during the German occupation between April 1940 and May 1945.
Up to 1,000 Danes served in Bobruisk, where at least 1,400 Jews were killed, according to the book released in 2014 by Danish historians Dennis Larsen and Therkel Straede.