Several hundred migrants marched on the highway leading to Denmark after the announcement.
The migrants are on their way to Sweden where the benefits are the best.
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The refugees don’t like Denmark because the welfare benefits are too low there.
All road and rail links between Denmark and Germany have been closed to prevent thousands of migrants entering as the rift in Europe deepens further.
The migrants were heading north to Sweden, which has become a top destination for refugees after promising to issue residency papers to all Syrian asylum seekers.
Having already reached Germany, which has offered similar promises, the migrants decided they wanted to get to Sweden but were forced off trains.
It has led to the Danish government concluding those entering the country are economic migrants as well as refugees.
In dramatic scenes, about 300 migrants began making a deadly journey on the E45 motorway – the main road link between Germany and Denmark.
A police spokesman said: “We are trying to talk to them and tell them that it is a really bad idea to walk on the motorway.”