They do exist, and they do have some connection to the regional geological structures.
Within the last two decades the instrument sensitivity to small earthquakes has been much improved in Denmark. Two to ten earthquakes are recorded each year of magnitudes 1.5 to 4.5. The seismicity pattern seen in recent data confirms the patterns noted from previous instrumental locations, as well as from felt areas of older dates.This means earthquake activity cutting off the earthquake zones of western Norway and of southern Sweden:
In north-western Jylland, and in the Skagerrak Sea the earthquake zone cuts off a zone of earthquakes along the western coast of Norway. At least some of these earthquakes in Jylland and Skagerrak occur at depths 30-40 km.
In north-eastern Sjaelland and in the Kattegat Sea, as well as around Bornholm the earthquake activity occurs in the upper crust, at depths shallower than 15 km. This appears as the south-western boundary of the scattered earthquake activity in south-western Sweden.
In the North Sea the oil producing graben area is the most active. The Viking Graben in the north has a significant earthquake activity, and the Central Graben, which goes through the Danish sector of the North Sea has small, but noticeable activity. On the British side of the graben there are additional active areas.
The stress field responsible for these earthquakes is rather uniform across the Fennoscandian Border Zone, with scattered exceptions. It reflects the general NW-SE compression of northern Europe between the North Atlantic spreading ridge and the Alpine collision between Europe and Africa.