That's the local stereotype also, that Swedes and Finns are more reserved than Danes [1]. I think it's still pretty uncommon (almost taboo) for Danes to start up conversations with other Danes on public transit (or in grocery stores), though, especially during regular hours on a weekday. There are usually 6-10 people at the bus stop in Copenhagen I wait at most mornings, and nobody is ever saying anything to anyone! The bus ride is usually near-silent as well. When I was in California this would usually result in at least something spoken, a few minutes of conversation about the weather or the timeliness of public transit if nothing else.
Things are more social on weekend evenings where people are on their way "out", though, that's true. And I think starting conversations with foreigners is also done more readily than with Danes, because it sort of suspends some cultural norms. Once you hear someone speak English (or another language) there's an assumption they're probably interested in talking to locals, whereas the assumption is that the average (Danish) commuter doesn't want to be bothered. Plus there's a range of easy intro lines: "where're you from?" or "what brings you to Copenhagen?" or "hey are you guys Australian?"
But to give an example of the kind of thing that was normal in California but which I've never seen in Denmark: checking out at a Trader Joe's and the clerk starting a conversation by asking some random question about what I'm buying. If I'm buying tomatoes & avocadoes, he or she might ask if I'm making guacamole, and mention they did that last weekend and then share a tip about their favorite recipe. Or if I'm buying a bottle of gin, asking if I like it in gin & tonics or in martinis. Or comment on things like, "hey man you look pretty tired, long day eh?" It can start interesting conversations (or sometimes, awkward ones), but either way that kind of interaction in a grocery line would be seen as super-weird and an intrusion on privacy in Denmark.
[1] Informative and somewhat amusing: http://folk.uio.no/geirthe/Scandinavian_images.html