Agree KL is responsible for the bags; upon arrival at CPH, you should've contacted the lost baggage office. IME, a third party handles it in smaller stations.
Some recent discussion in the KL forum:
http://www.flyertalk.com/forum/air-f...n-luggage.html
http://www.flyertalk.com/forum/klm-f...t-luggage.html
KL - tracing baggage:
LINK