Originally Posted by
AlicorporateUK
Unless things have changed recently, US/non-Schengen flights arrive at pier C, a short walk to passports (where there could be queues at peak times) and off to the Schengen section, hence no security.
From the link I posted
If you arrive at Copenhagen Airport from a country outside of EU and have to continue traveling by airplane, you will have go through the security check. Please note that the same limitations apply to liquids as any other departure from the airport.