Originally Posted by stimpy
You will always have to go through security at a new country. If something bad were to happen, someone has to be blamed. So they need to re-screen at each country. However if you take a domestic flight to an airport like LAX where you just walk across the hall to your international flight, then you are OK. No extra security.
Any time you come in contact with your checked luggage you have to be rescreened. The theory is that you are allowed items in checked bags that aren't allowed in the cabin, and you could easily transfer them to your carry-on, hence the new security check.
In the case of CPH, as Spiff mentioned, you transfer from one country to another without having access to your checked bags and therefore you don't need a new screening. It happens at several airports in Europe, not just CPH.