Michael Laursen spoke with Premier after the Scandinavian country topped the 2016 World Happiness Report by the United Nations' Sustainable Development Solutions Network (SDSN).
The SDSN looked at welfare systems, health services, generosity, perceived corruption, personal freedom and economic output in compiling its list of 156 countries.
Switzerland, Iceland, Norway and Finland complete the top five, while the US ranked 13th, Germany 16th, Brazil 17th, the UK 23rd, France 32nd, Russia 56th, China 83rd and India 118th.
Leader of the Copenhagen Christian Center, Michael told Premier Denmark has a low crime rate, free universities and free hospitals, however, many people are taking anti-depressants and the divorce rate is high.
He added: "Happiness is when you're satisfied but not just with material things [but] when you're satisfied knowing you're loved, you're accepted and you're cared for in despite of all your weaknesses.
"That, I think, is real satisfaction and that is what the message of the church is. The gospel is about grace, that you are excepted, no matter what you have done. The church really has to be key to that deep satisfaction.
Asked what advice he had for the UK, which lags 22 places behind Denmark in the 2016 World Happiness Report, Michael added: "Denmark, why are we at the top?
"Of course, it is social security and it's a small country where we take care of eachother and where you can get free education and free hospitals.
"So, that would help you along the way but you might discover that is not enough."