The Danes earned a showdown with England at Wembley this week after beating the Czech Republic 2-1 in the quarter-finals on Saturday.
Denmark’s run to the semi-finals has been one of the stories of the tournament so far. The squad have had to cope with the traumatic event of midfielder Christian Eriksen suffering a cardiac arrest and collapsing on the pitch during their opening game.
They went on to lose that match to Finland, and their second group game to Belgium, but the disturbing scenes involving Eriksen - who is now out of hospital and recovering well - have united the squad and spurred them on.
Since losing to Belgium, the Danes have won all their matches and now they are eyeing a victory over England in the semi-finals.
“It’s huge. It’s insane,” said Kjaer after Denmark beat the Czech Republic in Baku on Saturday.
“It is an insane achievement we have made with the team, but also with the staff, with all the people around. They must never be forgotten, the people behind and the things we have been through.
“We had like a goal before we went into this camp that we were going back to Wembley, and we are now. But I’d also be lying if I said that we’re okay with reaching the semis.”
Denmark are well aware of the challenge that faces them on Wednesday as they take on an England side who are unbeaten and yet to concede a goal.
Gareth Southgate’s side have established themselves as the favourites to go all the way, particularly as the semi-finals and final are at Wembley, and Denmark boss Kasper Hjulmand believes England are destined to win a major trophy soon.
“I have often said that I believe in England for the next six, seven, eight years, but I do not think it will be this year,” said Hjulmand with a smile.
“I think Gareth Southgate has worked fantastically well with the team for many years. They are a hard nut to crack. There is no doubt about that.
“They are a team that is growing better and better together, and where more and more of the phases of the game are connected, but there is no doubt that we have looked at it and we have some ideas for how it can be done.”
England will also have the added advantage of the vast majority of the 60,000 fans at Wembley cheering them on as restrictions related to the Covid-19 pandemic mean Denmark fans cannot travel over for the game.
The Danish FA had been in dialogue with British authorities about easing travel restrictions, which force supporters to quarantine on arrival in the UK, but they have been maintained.
UEFA has provided the Danish FA with 5,000 tickets to sell to Danes living in the UK and Denmark hope to get good support.
The Danish FA has said they will send national team jerseys and flags to those who secure tickets, so they can show their support.
“We are very happy about the support we are getting from Denmark,” said Hjulmand.
“I have received a lot of photos from people in Denmark. That is one of the reasons we can use so much energy.
“I hope that many thousand fans can come to England. But no matter what, we know that we have a lot of support.”