A call to 150 is still a call. You've not mentioned whether you've been able to use your phone in Denmark previously, but I will presume the answer is no.
Your ability to get coverage abroad (which calls, texts & mobile data rely on) is dependent on roaming being activated - which allows your phone to connect to foreign networks.
Have you used your phone abroad previously, did you receive a welcome text message on first arrival abroad? These are good evidence of roaming being enabled if so. In these cases, manually cycling through all available local networks often resolves issues - toggling flight mode can have the same effect.
If not...On PAYG, roaming is auto-enabled once your phone is used in the UK first. On pay-monthly, this needs to be enabled manually - usually by texting ROAMING to 150 before leaving the UK. Did you do this?
If you are on pay-monthly and now find yourself abroad without having enabled roaming, your only recourse will be to contact CS to request it activated. You can either contact +44 7953 966150 from another working phone, or +44 800 9566000 using a web-calling app over WiFi.
