Erotic massage salons are concentrated in the red light district of Copenhagen, which is around Istedgade street. Asians mostly run these venues and not all parlours have a great reputation. But all kinds of happy endings and sometimes even more intimate stuff are definitely available. Amager Thai Massage (http://www.amager.thai-massage.dk/) at Tingvej 10 and Gold Finger (https://www.thaigoldfinger.dk/) at Gammel Kongevej 3C are somewhat reputable sensual studios in Copenhagen. Of course you can also give it a go with independent masseuses and escorts offering erotisk massage (as they say in Danish). Those ladies will usually publish their ads and profiles on local directories and classifieds sites.
The massage studios located on Istedgade rarely advertise online. They function on a walk-in basis and that’s fine if you’re feeling adventurous. The golden rule in these studios in Copenhagen but also other local erotic establishments in the city is that almost everything costs around 1000 DKK, which amounts to €150 more or less.