The Politiken newspaper reported Sunday that Danish intelligence knew the 28-year-old Somali man was held in Kenya in September for allegedly plotting an attack against US Secretary of State Hillary Clinton.
Citing unnamed sources, the newspaper said he was later released due to lack of evidence.
But Denmark's ambassador to Kenya, Bo Jensen, told the news agency Ritzau the man was arrested in Kenya for incomplete travel documents.
He said Kenyan authorities never told the embassy he was suspected in any terror plot.
He said Kenyan authorities never told the embassy he was suspected in any terror plot.
Denmark's PET intelligence agency would not comment.
The armed suspect was charged with attempted murder Saturday after breaking into artist Kurt Westergaard's home.