The evacuation went smoothly, but one of the broadcaster's reporters on the scene said that some post-Christmas shoppers were a bit panicked as the smoke filled large sections of the mall just before 6pm.
The source turned out to be fireworks that were ignited by the adjoining Frederiksberg Metro station.
“It's as crazy as can be. In the worst case, someone could have been hit [by the fireworks],” Michael Møller of the Greater Copenhagen Fire Department (Hovedstadens Beredskab) told TV2.
Metro operations were also stopped as a result of the fireworks but resumed after around 20 minutes.
Shoppers were let back in to the mall after the source of the smoke was confirmed.