No injuries were initially reported.
“I can confirm there has been an explosion which made a loud bang. It was quite powerful,” Copenhagen Police duty officer Kristian Rodin told Ritzau.
“The pizzeria was closed (at the time of the incident),” he added.
The explosion was alerted to police at 5:40 am.
Jyllengevej was subsequently closed between Ålekistevej and Jernbane Allé and police have advised motorists to look for alternative routes into the city.
The road is expected to remain closed throughout the morning and possibly for longer, Rodin said.
Witnesses who may have information regarding the incident are advised to contact police on number 114.