Because attempting another landing would have been a risk. The Atlantic Wall went from Norway over Denmark and the Netherlands to France. The Allies knew they would beat the Germans in the long run once the bridgehead in the Normandy was secured, because they had more troops, weapons and ressources. Why risk another landing on one of the other well defended Atlantic Wall shores?

Edit: Misinterpreted your question and assumed you ask why the Allies didn't land elsewere instead of Normandy.

Many different factors. To take your example of Denmark. Think about what would change.

The route of the armada would be far longer and allow for more time to prepare the defense if spotted. It would allow the Germans to maybe attack the convoi and inflict damage. One of the major advantages of the Normandy landings was the relative short distance between the combat zone and British airfields in southern England. If you would land troops in Denmark pretty much all German aircraft could intervene the Luftflotten which were defending Germany were in striking distance to Denmark aswell without having to move to different airfields or abandon the "Defense of the Reich". The Luftwaffe would have been able to muster a far stronger resistance in northern Germany. Quite honestly Denmark would propably the worst location for a landing. If you look at the map you see this is a peninsula ( Jutland peninsula ) which could not be a better area to defend, no way to flank the enemy short defense line. The entire German reserves could be located behind the front and have the ability to respond everywhere. Without going deeper into this, Denmark as landing area would offer no advantage and a lot of serious disadvantages. I would be suprised to read that this was even considered at all.

Netherlands:

Well the Netherlands were a potential location. The advantages are obvious, a successful bridgehead so close to Germany would have been devastaging for the Wehrmacht. All forces in France would have been moved and some of the biggest natur obstacles would have been overcome already. The Ruhr area is threatened.

Like in the Denmark example a landing in the Netherlands would have allowed the Luftwaffe to use its forces for everything at the same time. They could defend the skies of the Reich ( try at least) while also striking the bridgehead and helping with counter attacks. In terms of the aerial campaign a landing close to Germany was a strong advantage for the Luftwaffe. The Luftwaffe was defending and had to spread its available ressources to handle all threats ( Normandy, Defense of the Reich ). In case of a close landing this split is unneccessary and the numerical power of Luftwaffe attacks would be stronger. On top of that the Flak saturation was already higher in this area. For the Allied airforces nothing would change since they dictated where the fight happens anyways, flying to Normandy or the Netherlands makes no difference.

Troops available in this area were stronger than in Normandy and could be reinforced faster. The early counter attacks would have hit harder than in Normandy. Supplies would have arrived faster et cetera. Unneccessary troops in Northern France would have been immediatly deployed to defend the Netherlands. When the Allies landed in the Normandy the OKW and Hitler were hesitant to redeploy troops because of the threat of another landing closer to Germany. Major formations stayed in the Calais area for example. If a major landing takes place directly next to Germany there is no reason to keep very strong forces in Northern France. Why would you feint a landing in Holland to then land further away? The response of the Heer would have been significantly stronger compared to Normandy, the effects of Luftwaffe would have been far bigger aswell. The Atlantikwall was stronger here aswell.

Normandy as location was the safest way to do it. If it was the best is debatable and there will be no conclusive answer to this question. Like with all major operations of the Western Allies sparing lifes of their soldiers was a priority and a landing further away from Germanys strongpoints reflects that.