The military says the pilot ejected safely under "controlled circumstances" and was picked up at sea by a helicopter.
The civilian Accident Investigation Board said Wednesday it is investigating the cause of yesterday's crash off the island of Fanoe.
The jet fighter was on a training flight when the pilot reported technical troubles. The pilot then emptied the jet fighter's fuel tanks over the North Sea before ejecting.
Denmark is expected to announce later this year what type of jet fighters will replace the Scandinavian NATO-member's aging fleet of F-16s. Until recently, Denmark had seven F-16 fighter jets in the international coalition combating the Islamic State extremist group.