While on the train, or bus, or wherever, you begin to notice a lot of things. Human behavioral type things. One, is that no one says "Excuse me" when they get up, sit down, or push you around. Two, is that people stare. Especially if you don't fit the 'norm.'
I thought it was just me, but my husband has started to notice it as well. In the US, we're told as children that "Staring is rude" so naturally we don't do it. If someone stares at you for an odd amount of time, chances are A) they think you're attractive or B) they may have a few screws loose upstairs.
However, if it becomes uncomfortable, all you need to do is stare at them back and they will snap back into reality and look away. Not in Denmark! That human behavioral register doesn't exist here. I've tried it. All you get is a really uncomfortable stare down...and then more stares.