Yes, early Christian missionaries complain a lot about recent converts returning to their pagan ways as soon as the missionaries move on or return to their home areas. For missionaries, Christianity was a 'once your go baptised you never go back' deal, whereas pagans did not really keep track of church membership at all. Baptism occasionally also came with certain benefits (free clothes, free food, that sort of thing).

For this reason the church decided to take a different approach from the 10th century on. Instead of having individual missionaries preaching to the people, they decided to focus more on rulers and establish a christian infrastructure (with bishops) at the same time. As soon as kings could enforce christian practice on their subjects, christianity became much more of a one-way street as the church imagined it. From the 11th and 12th centuries you get royal persecution of people behaving in a pagan fashion as well, making apostasy impossible.

Also keep in mind that in southern Denmark, paganism and christianity existed side by side for about 200 years, from the early christian graves at Hedeby and Ribe to official conversion of the kingdom in the 10th century. Similarly, in the Danelaw pagan Scandinavians mixed with christian anglo-saxons in the 9th century. While we have no records of christians turning pagan, I see no reason why this could not have happened in these areas.