"Six Iranian citizens climbed the fence around the embassy in Copenhagen on Thursday morning, entering the garden and putting up banners and posters protesting against the Iranian regime," Copenhagen police superintendent Henrik Stormer told AFP.
"They also pulled the wire on the flagpole and the flag came down."
Four of the Iranians were asylum seekers in Sweden, while the other two held residency permits in Sweden.
All six were being held in police custody suspected of trespassing.
Iran's state news agency IRNA reported that Denmark's ambassador in Tehran had been summoned to the foreign ministry on Thursday, where Iran conveyed a protest about Denmark's weak security for the embassy.