Police said that the shooting took place at 8.20am.
Vi har haft en skudepisode ved politigården i Albertslund. Pt intet yderligere. Info vil komme her på Twitter #politidk
— Vestegnens Politi (@VestegnsPoliti) December 6, 2016
The shooting victim was a male police officer who worked as a dog handler.
“His condition is serious but the doctors say that he is not currently in a critical condition,” police said in a statement.
Shortly before 12pm, police said they had arrested one suspect.
“Copenhagen Vestegn Police have arrested a 26-year-old Danish man for the shooting,” the statement said.
It added that the man was previously known to police and that it is believed he acted alone.
“This is the work of a madman,” police said.
Police converged at the station in large numbers and closed off much of the surrounding area.
Police districts across Denmark increased security after the incident. The national police said they had “heightened security at police stations across the country, pending clarification of the situation.”
Prime Minister Lars Løkke Rasmussen said he was “deeply shaken” over the incident.
“That a policeman on his way to work has been shot is in every way terrible. The men and women who go to work every day to take care of us should not live in fear when they move about in Denmark,” he said in a press statement.
“My thoughts go out to the police officer and his family – I cannot imagine what they are going through right now. My thoughts are also with the employees of the police station in Albertslund, who must be in shock over the brutal gunning down of their colleague,” Rasmussen continued.
Justice Minister Søren Pape Poulsen also expressed shock and outrage over the shooting.
“It is a dark day for all of us when those who protect us are attacked. It is terrible that this sort of thing can happen in Denmark,” he said in a statement.
Tuesday's incident was the second time this year that a police officer has been shot.
On August 31st, a supposed Danish sympathiser of the Isis terror group fired on two police officers conducting a drug raid in Copenhagen's Christiania district, hitting one in the leg and the other in the head.
And in February 2015, four police officers were injured in the deadly twin attacks committed by a young Dane of Palestinian origin against a cultural centre hosting a debate on freedom of expression and the Copenhagen synagogue.