Similar population density, similar climate, similar lifestyle. Denmark is to far south and to small for that. Denmark more closely resembles, say, Belgium or some northern states in Germany.

Finland, Sweden, Norway, Denmark and Iceland form an entity that has shared history, culture, legislation and many other traits that make them comparable. For decades, the legislation, regulation etc in the countries has been developed together (often with Sweden as the progressive model that others are following, though that has now turned around a bit).

Geographically it is not so important that there is a bit of sea between Sweden and Finland (Scandinavia vs. Fennoscandia); this sea used to be something that connects, not something that differentiates between the lands.