As my parent points out, the statement by Christian Bjørnskov, that Danes are ambitious. Danes are far more interested in working for an employer than being one (on average). Danes like a large welfare state and we like comfort.
While Bjørnskov goes on to hide his suggestion with the fact that Danes don't like to show off (we have a culture against showing off, see Law of Jante[1], which is diminishing but very slowly), his concept of 'ambitious' does not translate into something that makes Danes particularly happier.
Our 'happiness' rating stems from our comfort, because despite the welfare state's quirks, it does work some of the time. But it is a huge drag on the treasury, and a lot of the money are not exactly spent efficiently.
Denmark is not a perfect place, and I am not sure people coming here will automatically be happier (particularly considering how we treat immigrants).
[1] http://en.wikipedia.org/wiki/Law_of_Jante