Kyle Walker, Andros Townsend, Adam Lallana, Steven Caulker and John Ruddy all missed the session at Tottenham's training ground.
All five are undergoing recovery work inside the state of the art facility near Enfield. Townsend, Caulker and Ruddy all played on Sunday so they were always likely to miss Monday's session.
Walker reported with his team-mates to the training ground but he was walking gingerly due to a hip injury.
Spurs boss Tim Sherwood said following the 1-0 win over Cardiff that the right-back would not play against the Danes.
Lallana played the whole of Southampton's 3-0 defeat to Liverpool on Saturday but was not deemed fit enough to train with his England team-mates on Monday.
Lallana's team-mate Luke Shaw took part in his first England training session. The 18-year-old could make his international debut at Wembley on Wednesday.