Wow, there is really varied feedback and experiences on this thread! Some of it scares me a little!
I too am looking to move to Copenhagen in about a year. I am English but speak the language. I am fully expecting that to make friends will require a lot of personal effort, but isn't that always the same when you move abroad?
It's true though that the northern European countries are more reserved and closed in their nature than some southern European countries. But I think it depends on where you come from. I come from London, and if I am honest, London is a fairly unfriendly and difficult place to make friends too. English people will not just start talking to you and offer friendship. So for me, I am hoping that Danish culture will be very similar to what I am use to, hence will suit me just fine.
However, I think the point here, is your experience of Denmark really depends on where YOU come from and what you are used to.... I agree if you come from Italy, where people seem to be a lot more lively, spend time outdoors and enjoy a high level of social interaction, yes Denmark will seem very unfriendly. And perhaps that doesn't suit all people. :-)