While it's hard to prove that this was in retaliation, during the late Viking Age there were indeed polities attacking Scandinavia, in particular what is now Denmark was repeatedly invaded and even subjugated by the Holy Roman Emperors of the Ottonian dynasty. Not only were they forced to pay tribute, but were also forced to convert to christianity^1.

When Haraldr blátǫnn rebelled against this arrangement and attacked Saxon lands, Otto II. led a counterattack into Denmark proper, punching through the danavírki wall after it was abandoned by Haralds Norwegian allies and finally restoring the status quo ante bellum (technically he built a few castles too, but those were razed a few years later).

The danavírki itself is interesting in that it proves that the inhabitants of Jylland felt the need to fortify their southern border - the first instance of that wall being built in the late 500s and being improved and enlargened until the 12th Century. It roughly stretched (well, it still does, mostly) from the Eckernförde to the Schlei fjord and then as almost far as the Treene, using the Rheider Au as a moat in the west, meaning that in its final build it more or less blocked access to Jylland by land. However as far as I know that was originally more of a proactive move than the need for actual defense, but the fact that it exists and was used to defend the Danish mainland remains.

^1 : As with almost everything during this period, there are different accounts of what happened. According to Adam von Bremen the Danes were forced to convert by Otto I. and his Saxons after being beaten (curiously, a bit earlier he claims that the Danish king entertained multiple bishops at his court), while Widukind von Corvey claims it was done peacefully by a cleric called Poppo Eisenwunder ("iron miracle") - who supposedly miraculously remained unharmed after carrying a large piece of red-hot iron. The Heimskringla relates that Poppo did perform his miracle in front of both Otto and Haraldr, who converted voluntarily, while Jarl Hákon of Hlaðir was forced to convert by Haraldr on the same occasion. You can't really say which of these is true, but please note that while Widukind was the only one that was actually alive when it happened, he was also extremely close to the emperors and thus not necessarily reliable.

Follow-up question - did countries attacked by the Vikings even know that they were coming from Scandinavia?

Viking raids originated from all over Scandinavia from politically separate entities. There would be little point in mounting a very dangerous and expensive expedition and attempt to attack the home of these raiders since there was no guarantee it would be effective. On the contrary it was very likely that you could lose your entire force at sea or in the homeland of the Vikings. Vikings were more then just marauders, they were sailors and explorers with a far superior knowledge of seamanship then the agricultural communities they preyed on. Which is precisely what made the Viking raids so disruptive to the stability of European kingdoms during the Viking Age, most kingdoms were already contending with their neighbours and had their forces formatted for such a confrontation. So when a 3rd party enemy attacks by sea of all places, all your previous defence plans are fairly useless and even worse it ties up a portion of your army in trying to counter attacks that can come from anywhere at any time. An even worse scenario is that only your kingdom comes under attack while your neighbouring kingdoms does not, which "unfairly" gives them an advantage.