That heavily depends on who you listen to.

CIA indeed defines Northern Europe as you describe, including Denmark, plus Iceland. [1] However the United Nations has a different definition, which also includes the Baltics, UK, and Ireland. [2]

[1] https://en.wikipedia.org/wiki/Northern_Europe#CIA_World_Fact...

[2] https://en.wikipedia.org/wiki/Northern_Europe#UN_geoscheme_c...