Denmark controls the waters of the seaway to Sct. Petersburg and Kaliningrad that are some of the strategically most important ports of Russia.
Blocking of traffic to these would be a severe escalation.
Regularly Russian subs pass through Danish waters - controlled and allowed.
(I do realize that in particular US citizens have very high confidence in their own military capacity and might be overly bullish on situations like these)
My take is that Russia's plan is to continue sabotaging and a weak (or lack of) response to that only emboldens them.
Also nuclear war with what? Their recent Satan II ICBM test demonstrated that they don't necessarily have the technical chops to launch anything sufficiently capable and it must have come as a surprise to them as well.