He was referring to Danish policies such as universal health care, free college education and subsidized day care that give more aid to workers than their American counterparts receive. Danes in their prime working-years are more likely to be employed than similar Americans, and they take more vacation too. Although taxes are higher, studies claim Danes are happier than people in most other countries.

Conceding that she too likes Denmark, Hillary Clinton responded that the United States had a capitalist economic system which needed to be controlled, not replaced. She might have added that the United States is a much larger and more diverse country, increasing the cost and complexity of providing public services like the Danish ones. The United States also has responsibilities Denmark does not, most notably in defense, where American spending far exceeds Danish outlays.
What neither seems to have noticed, however, is that for some time, the voters in Denmark and its neighboring countries have been questioning the generosity of their social and economic policies. Indeed, this summer, the Danes elected a more conservative government amid anti-immigrant, anti-European Union sentiments that have been growing rapidly.

So perhaps the real question Americans should ask about Denmark is why the achievements many outsiders admire are increasingly questioned at home.

Sources:

Transcript of Democratic debate
Danish social and economic policies
Danish happiness
Defense spending
New Danish government