It's because around 80% of people have had two doses, so majority of people infected (in total numbers) will always have had two shots.
In this link you can see daily new corona cases based on vaccine status/Dagligt nye smittede efter vaccinestatus. You can see that if you normalise to per 100,000 you have a higher risk with no vaccine than with one or with two vaccine doses. Denmark had also a big vaccination drive last spring, so most people are coming up to over 4.5 months since second vaccine, and they have said that immunity peaks at around 2 months. There's now a big drive to get as many people their third (booster) shot.
If you look at the graph after (Indlagte efter vaccinestatus/Hospital admissions based on vaccine status), you see the real effect of the vaccine, where there are 31/100,000 unvaccinated admitted to hospital versus 6,8/100,000 for the vaccianted with two doses (and 14,9/100,000 for people with one vaccine).