You Do Need power plug adapter while traveling from Azerbaijan to Denmark.

Here is Why You Need An Adapter

The outlet and plug type used in Denmark are C, E, F and K and in Azerbaijan are C and F. This is how they look like.

Azerbaijan

In Azerbaijan, outlets of type C and F are in use.

Type C

Type F

Denmark

In Denmark, outlets of type C, E, F and K are in use.

Type C

Type E

Type F

Type K