The party's deputy chairperson Anders Vistisen said that he supported leaving the arrangement if it obliged Denmark to accept refugees.
“If the Dublin Regulation stipulates taking in quota refugees then there is no longer rationale for Denmark to take part,” Vistisen said.
Mandatory quota refugees are included in a proposal to update the regulation accepted by the EU Parliament's citizens' rights committee, reports Ritzau.
Due to an opt-out clause between itself and the EU, Denmark is not currently covered by the union's quota for relocation of refugees.
But the Scandinavian country is a part of the Dublin Regulation, which states that refugees must be processed in the first EU country they reach.
The EU Commission has proposed that refugees are redistributed automatically between EU countries if some member states receive significantly more than their quota stipulates.
Having voted in favour of the proposal European Parliament must now agree on a compromise with the EU's council of ministers over an exact procedure to be adopted by member states.
“If the Dublin Regulation is to be changed, Denmark must decide whether we take the new Regulation or withdraw,” Vistisen said.
“The Dublin system doesn't work anyway. We cannot return refugees to countries the treat them badly,” he added.
“We can only deport 800-900 people under the Dublin system, according to new government figures. If we are also to take part in the EU's relocation circus then there is no reason to take part,” Vistisen continued.
The Czech Republic, Slovakia, Hungary and Poland also want to opt out of accepting a mandatory minimum number of refugees.