It is not, and it's part of a persistent mischaracterization of the "wildness" of the past that you see in all sorts of different contexts.
One aspect of this is the trope of pseudo-medieval European settings in fantasy literature (e.g. Lord of the Rings and so much that has followed in its footsteps). This is a conception of Europe in the middle ages that is sparsely inhabited and substantially filled with wild places. A place where travel between settlements involve arduous journeys through enormous empty lands. A place where the forests are extensive, ominous, unexplored and filled with many feral beasts or even wonders as yet unknown to mankind. You can see this in all manner of storytelling. From Tolkien's middle Earth to the fairy tales of the Brother's Grimm to Beowulf. It's an idea that has been lodged in the public consciousness for literally centuries, explaining why it is so widely accepted so casually.
But it does not reflect historical reality. The reality is that this situation hasn't pertained in Europe since sometime around the Bronze Age or the neolithic era. Europe has long been very densely settled, with villages and farms littering the landscape and with even towns and cities typically only at most a one day walk away from each other. Moreover, many forests in Europe have long been effectively domesticated. Not wild but rather cultivated, cleaned, and harvested on a regular basis. People would plant trees of specific types for various uses. They would keep the underbrush in a forest cut down so that it was more navigable on foot and to aid in the raising and hunting of game animals like deer.
It's not impossible that there was perhaps a continuous line of trees connecting Denmark to the Mediterranean but at best it would have been a quite circuitous route. The essence of the statement in conveying an image of Europe in the middle ages as being chock-a-block with dense forests is quite inaccurate however.
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