Denmark have an unemployment rate of 6% which is not good, but certainly better than many European countries - and better than the US, as far as I can tell. Furthermore, Denmark have a comparatively large workforce because it has relatively few stay at home parents (which doesn't count in employment numbers).

The "most people don't work" statement may be true if you count every living person, including newborn babies, kids, students, retired people, disabled and so on.