Airlines are responsible for your luggage.Your airline pays a handling company to handle passengers and luggage. If your baggage is missing, you should contact the handling company that handled your flight.
Travel rules for Denmark
It is mandatory to wear a face mask in Copenhagen Airport as well as onboard the plane. When travelling to Denmark, different requirements apply depending on your country of residence and departure, as well as whether you have been vaccinated / previously infected. All passengers, except those previously infected, are required to present a negative coronal test upon entry to Denmark. Citizens with a residence permit in Denmark must be tested within 24 hours. Read more here: Travelling to Denmark as a tourist (coronasmitte.dk)