The Danish Civil Aviation and Railway Authority is not able to process a complaint if the passenger has cancelled the ticket themselves. In accordance with Regulation (EC) 261/2004 passenger rights only apply if the air carrier cancels the flight. In this regard, it is insignificant whether the passenger has cancelled the ticket because of instructions from the air carrier.
The Danish Civil Aviation and Railway Authority urges passengers not to cancel their tickets themselves if they wish to keep their right to a refund, cf. Regulation (EC) 261/2004. Furthermore, the Danish Civil Aviation and Railway Authority has called upon the air carriers to clearly inform the passengers about the consequences of passengers cancelling their tickets themselves.
In case you, as a passenger, have cancelled your ticket because of the information given by an air carrier, you may consider contacting Nævnenes Hus who has other possibilities for dealing with consumer aspects.