Correct, but those who did not had their own special camp in Denmark where the Nazis tread lightly. It wasn’t exactly country club, but compared to more infamous camps like Auschwitz, it was.
Of all the occupied Countries, the Nazis were probably most lenient in Denmark. For the most part, they did leave the Danes alone, as long as they didn’t cross the line. They were fortunate, they didn’t have a beast like Seyss-Inquart in charge there, like he was in The Netherlands.