The prime minister said the refugees should seek shelter for the night and wait until Danish police coordinated their transfer to Sweden with Swedish authorities.
"We hopefully can reach a situation where people who want to seek asylum in Sweden can do that," he told journalists.
"As a Danish authority, we cannot support people getting to Sweden, if it does not happen with a degree of acceptance from the Swedish authorities," he said.
Danish television channels on Monday showed videos of refugees taking trains from Jutland, in the western part of Denmark connected to Germany, to Copenhagen, where they can ride to Sweden in 35 minutes by train.
Other videos focused on several dozens of refugees walking along a busy motorway to Copenhagen because, as they said, they wanted to join their families in Sweden or expected to have relatives join them there far more quickly than in Denmark.
Sweden has taken by far the largest number of refugees per capita in Europe.
Read MoreUK pledges to take up to 20,000 more Syrian refugees
In absolute terms, with over 80,000 asylum seekers last year, it is second to only Germany.
Rasmussen's Liberals Party formed a government alone in July after winning 34 seats out of 179 in Denmark's parliament. During the election campaign, all parties sharpened their rhetoric against immigration.
The right-wing Danish People's Party won more seats than the Liberals but refused to join the government, believing it would have more influence over policy outside of the cabinet.
Its leader Kristian Thulsen Dahl has blamed Germany for the stream of refugees into Denmark and argued for border controls so refugees coming from Germany could be sent back, according to the Dublin agreement on registering asylum seekers.
"German politicians must take responsibility for what they have done by opening the border and welcoming people from the south," he said. In a Facebook post he said Germany's decision to receive Syrians had broken the Schengen agreement.
Read More'If this is your idea of Europe, you can keep it'
The prime minister said he had spoken to German Chancellor Angela Merkel on Sunday and that only a European solution would solve the crisis. Danish rules on accepting refugees are seen as stricter than in many other European countries.
"I think it is clear for everyone that the European asylum system is under huge pressure and in fact broken in some cases," Rasmussen said before the political parties met.
Danish social media reacted sharply after the immigration ministry published advertisements in Lebanese media that contrasted Germany's welcoming attitude to refugees and Denmark's reluctance to let people in.
The adverts in four Lebanese newspapers and online outlined recent government measures including cuts of up to 50 percent in benefits for asylum seekers.
The measures were one of the first announcements made by the new government following a parliamentary election in June.
The immigration ministry said Denmark seeks to reduce the number of asylum seekers but still expects 20,000 refugees this year compared to 14,000 in 2014.