Vacansoleil-DCM rider Westra completed the short 14.5km TT in Kerteminde in 16 minutes and 36 seconds, 19s faster than Team Sky Briton Geraint Thomas and 22s faster than Italian Manuele Boaro (Saxo Bank-Tinkoff Bank).
Westra leads the Denmark tour by 10 seconds from Lithuanian Ramunas Navardauskas (Garmin-Sharp), who was fourth on the stage at 25 seconds.
Boaro is third, four seconds further back.
The morning 90km stage from Ringe to Odense was won after a sprint by Norwegian Kristoff (Katusha), while Team Sky star Mark Cavendish complained that he had been impeded after finishing fourth.
Scottish neo-pro Andy Fenn (Omega Pharma-Quick-Step) was second, just half a bike length down, with Theo Bos (Rabobank) third.
Lars Petter Nordhaug led the race after that rain-affected stage, which saw early breakaway riders Jonas Aaen Jørgensen (Saxo Bank-Tinkoff Bank), Nikolay Trusov (Rusvelo) and Christian Jersild Jensen (Blue Water) held at a minute ahead by the peloton until they were reeled in late on to set up the sprint.
“It was a fast and short stage, with a difficult final part because the road was slippery and there were some bad corners,” said Kristoff.
“But the team worked great from the beginning to the end.”
The race concludes with the sixth and final stage on Sunday, a 165km run from Slagelse to Frederiksberg.