Macron made his comments at a press conference following a meeting with Prime Minister Løkke Rasmussen.
“Our relationship is as strong as it always has been,” Macron said.
“I was told that France has never been at war with Denmark,” he added.
Later on Tuesday, Macron also met Queen Margrethe, whose French husband Prince Henrik passed away earlier this year.
“We have always been friends, and that friendship is even more special in light of the royal family. So I am very happy to be here today,” Macron said according to Danish news agency Ritzau.
The French president said he was keen to further bolster the connection between the two countries in the form of an expanded military partnership.
Rasmussen said that he hoped the bond between the two countries through the European Union would also become stronger in future – sentiments echoed by Macron.
“We agree that the EU should be as close to citizens as possible, and that citizens should be able to rely on the EU to deliver solutions to problems when they are needed,” the Danish PM said with particular reference to the environment, free trade and migration.
Prior to meeting the Queen, Macron visited the Kastellet citadel in Copenhagen, where he laid a wreath at the Monument for Denmark’s International Effort Since 1948.
He will later participate in an official gala dinner at Christiansborg Palace.
Macron’s is the first state visit to Denmark by a sitting French president since 1982.