Denmark manager Kasper Hjulmand said their “dream was to win something” but admitted they are “not favourites” at the World Cup in Qatar.
Their best performance was in 1998, when they reached the quarter finals.
Denmark are in Group D with holders France, Australia and Tunisia, who they take on in their first match on Tuesday.
Hjulmand said: “This group of players have the quality to win everything. Are we the favourites? No.”
He added: “But we can beat everyone on the day and we have a very strong self-confidence. The best way of winning everything is to dream big and go into a tournament to win it.
“We have a good feeling. We are in a good position and ready to attack. I think we still have a gap to close on the best nations, but does that mean we cannot beat them on the day? No.”
Denmark reached the semi-finals of Euro 2020, losing 2-1 to England. Earlier in the tournament, midfielder Christian Eriksen suffered a cardiac arrest during their opening match against Finland.
Asked what it meant to have him in the squad in Qatar, Hjulmand said Eriksen was the “heartbeat of the team”.
“He is a fantastic player but an even better person. It’s just a pleasure to work with Christian,” he added.
Captain Simon Kjaer, who received the Uefa President’s Award for his response to the Eriksen situation, said the team were “thankful” to have Eriksen in Qatar.
“As a football player, he is probably one of the best I have ever seen in terms of quality, love for the game and just hanging around with the boys. He maybe appreciated it more than us,” he added.
“We love having Christian by our side. Every minute he plays is only a plus for Denmark.”
