Minister of Defence Trine Bramsen says an investigation will look into the matter "with the utmost seriousness".
Denmark has suspended the head of the country's foreign intelligence service as part of an ongoing investigation.
The Ministry of Defence says the probe follows "very serious criticism" of matters in the country's Armed Forces' Intelligence Service.
Three senior employees were “relieved of duty for the time being” on Friday and are "exempted from service until further notice".
"The Ministry of Defense will organise the investigation of the case in close dialogue with the Danish Intelligence Service", the government said in a statement.
"The study will be organised and carried out taking into account that it is classified information and matters of importance to the security of the state."
Lars Findsen took charge of the Danish Defence Intelligence Service (DDIS) in 2015 and was previously the head of the country's domestic intelligence service from 2002 to 2007.
The two other senior employees of DDIS, which is also responsible for military intelligence, have not been identified.
The Danish military has been at the centre of recent scandals, with some high-profile officers accused of favouring relatives.
Trine Bramsen, Denmark's defence minister, says she will look into the matter "with the utmost seriousness".
"It is absolutely vital that we can have confidence that our intelligence services are acting within their powers," said Bramsen.
The director of the Central and West Zealand Police, Svend Larsen, has been appointed interim chief.