Because while EU was free to decide whether to join or decline the invitation, all smart nations are actually forced to be part of it - because EU made trading rules, that countries that are not part of EU that trades with EU countries must actually pay a lot more than the usual price in order to export/import wares to and from the european countries.
Denmark's trade, with its biggest trading partners being Germany, Great Brittain and Sweden, would be devastated if all trade would bring lower amount of income because of that stupid rule. So since all these other countries joined EU, Denmark had to follow...
Well, let's just live with it then. Seems there is nothing else to do, but no, they terrorize us even more - and Paillan is right, in saying that they strike at our very culture!
EU has authority to make rules that must be implied into every country that is member of the union, by force. Several of our most favored candy and other beloved local wares were banned from our culture because EU thought them too something. Same with smokers, like they are not haunted enough already? Jesus...