The demonstration began at 6.30 pm on Saturday and is said to have degenerated into clashes with police, fireworks and firecrackers, according to the Danish newspaper Politiken.
The demonstrators are protesting against the new restrictions that were introduced on January 6 in Denmark, which among other things means that it is forbidden to hang out with more than five people at the same time.
By 8 pm, four people had been arrested by police, according to several Danish media.