The paintings, said to be worth millions, were snatched from Voergaard Castle in northern Jutland early Saturday, the Copenhagen Post reported Monday.
"The alarm went off at 3:10 a.m. and by 3:14 our groundskeeper heard a car driving away from the castle," Hans Jorgen Kaptain, chairman of the foundation that owns the building and the art collection it houses, told the newspaper.
Police said it was unclear how many thieves took part in the caper.
"The paintings will be impossible to sell. They can't appear on the market without the culprits exposing themselves," said Martin Mouret, a member of the trust that oversees the castle.