You mean all those expats that only have to pay half the income tax that Danes do? If you're only here temporarily as some kind of specialist it's hardly like you're being robbed. If you decide to stay for the long haul, obviously you are expected to also contribute your fair share to the welfare system.
And the foreigners can often use their time in Denmark as contribution credit to their own social security. Canada for example has a few such agreements, include with Denmark AFAICT:
