The squad locked up a spot in the Olympic handball tournament back in January when it won the European championship here.
Mikkel Hansen was the hero for Denmark, scoring nine goals in a 21-19 victory over Serbia in front of about 20,000 fans at the Belgrade Arena.
The 2008 champions set the pace from the start, scoring first and never trailing throughout the match. Hansen scored four of the last five goals for Denmark to help hold off the hosts, who reached the final for the first time since gaining independence.
Denmark had made a poor start in the 16-nation tournament but won all three games in the second group stage.
Croatia won the Euro bronze medal with a 31-27 victory over Spain.