A local resident spotted the animal near the town of Helsinge in northern Zealand last week, the agency said in a press statement.
“The citizen took some photographs and a video and based on that we can conclude that it is an elk. It is probably a heifer, in other words a female elk around two years old,” nature consultant Niels Worm said.
Following the sighting, the Nature Agency was later able to confirm that it was in fact a two-year-old elk that had been spotted.
Though it is uncertain how the animal reached Denmark, Worm said that it was conceivable that it could have swum across the Øresund strait from Sweden.
The last sighting of an elk in Denmark was as long ago as 1999, although there were several unconfirmed sightings, particularly in 2001, 2010 and 2012, all in the Helsingør area where last week's sighting occurred.
Many of those sightings were later proved to be of deer. Northern Zealand's deer population has grown in recent years.
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In 1999, a male elk swam to land in the Hornbæk Plantage natural area and was then seen in several locations throughout Zealand. But the animal came to a tragic end when it was run over by a freight train at a crossing between Roskilde and Ringsted in May 2000.
Anyone in the area happening to spot the new elk should consider themselves lucky, according to Copenhagen Zoo's scientific director Bengt Holst.
“I have seen many elk in my life, it's a fantastic sight. It's a wonderful animal the size of a horse,” Holst said.
While there is no reason to fear the animal, care should be taken not to frighten it by approaching too close, he added.
The zoo director said that, despite the sighting, the likelihood of a population of elk becoming established in Denmark was low.
“I doubt it. That would need both a male and a female to come here at the same time, find each other and mate.
“A few individuals could come over here now and then, and they can live well in north Zealand for a while. But they will then disappear from Denmark's nature again,” he said.
Denmark has not has an elk population for 5,000 years.
Lille Vildmose, a marsh area in northern Jutland, does have a small elk colony, but it lives within a perimeter. The Lille Vildmose elk graze the land in order to maintain the existing habitat there.