Hi OP,
I feel for you, not least because this has clearly blindsided you. Did your OH acknowledge what a huge ask this was, coming so suddenly?
I was in kind of a similar situation, at around your age. But neither of us issued the other with ultimatums as such. I'll tell you the story, though it may not throw much light on your situation.
I had been with the love of my life for around a year. He was from overseas and had travelled and lived in several countries before coming to the UK where he had some family ties - and dual citizenship, and he was developing his career.
We planned to marry, and probably have kids, had discussed where in the UK we would like to settle, etc. An opportunity arose for him to go and work in his birth country for a year, and as I was freelance I was able to follow - earning potential for me there was not fantastic but I could do some very interesting work, and it was at the time a very cheap country to live, and we had free accommodation, so not a hard thing to do.
I had an amazing time there but had always been clear I would never emigrate, however shitty the UK might be - it was my home. And he had made it his.
HOWEVER as his stay went from a year to 18 months.. and I had to return to the UK ... it became clear that actually, he felt at home in his birth country in a way he never had in the UK. The difference being this was a slow dawning realisation. So gradually, we both saw that the relationship was going to end. Yes there were many tears and a bit of to-ing and fro-ing before the final break, but there was no feeling of anger or betrayal, because it was like the weather. It just was. He had never lied to me, he had been sincere in his intention to settle in the UK, until he found it wasn't his home after all.
I think I was about 33 when we finally split. I had another relationship quite quickly but probably a rebound...then fell in love with my DH in my late-mid thirties - and yes we were lucky and were able to have kids after a few years, ancient though I was by then!
That boyfriend went on to marry someone in his country, and they too had kids.
I sometimes look back and wonder how it would have been, with those cultural differences and geographical distances (not language difference in this case) and realise how much harder our lives could have been...
Now one of my children has a partner from another country, and though they are lovely and they are clearly really happy together, I have to admit I am worried that my child will end up in the same position one day.
To get back to your dilemma, I think pps who say he is hoping you will (or even asking you to) make a sacrifice he isn't willing or able to make himself, have the measure of the situation.
I think it is good that he has been honest with you, at least - I hope he has and that he spoke up as soon as he realsied how he was feeling. I think its a bit self-centred of him not to have prefaced his remarks with "I know this isn't something you are expecting to hear" - was he thinking aobut how you'd feel?
It is sort of acceptable for him to hope it would not be such a sacrifice for you, and you would be very open and happy with the idea of emigrating (though surely he must have been aware this was unlikely).
It is NOT fine for him to expect you will do so.
He has to accept that if he moves back to Denmark he will probably lose you. And he has to accept that the timelines mean he can't expect you to say oh yes lets stay together here for the next 10 years (or even just 5, or just 3) then move to Denmark and have kids. If he really can't grasp how that is a preposterous suggestion, he is not emotionally intelligent enough to be a parent or a husband IMO.