They did. At least Denmark-Norway was a colonial kingdom, with colonies in Greenland, Iceland, Faroe Islands and in the Caribbean, and fortified trading posts in Africa and India. As well as efforts of colonisation in Lapland in Northern Norway.

Sweden had a brief attempt at a North American colony, and had smaller colonial trading posts as well for various amounts of time in Africa and the Americas.

However the Scandinavian countries were small when it came to populations, and even though the population gradually rose during the 18th century, it was only in the 19th century, when the small time colonialism of the mercantile era had long since ceased to be profitable, that the population surplus from the rural areas of Scandinavia, especially Sweden and Norway, was large enough to create somewhat substantial emigrant populations.

But as mentioned at that time the colonial holdings were not profitable and wasn't deemed desirable places to emigrate to, so other more prosperous foreign colonies or former colonies like USA, Canada, Australia, New Zealand and other places were chosen as primary destinations.