Danish citizens can only use .dk domains with NemID validation.
Everyone who has a .dk domain name, who is resident in Denmark, must associate a NemID with their profile on self-service. The process starts automatically when you log in to self-service.
You cannot be exempted from using NemID in Denmark - you can only be exempt from using digital mail and online self-service in public institutions, but since DK Hostmaster is not a public institution, it does not apply to us.
Read more on NemID's website.