That's a good point. The two endpoint of the main Danish railway line are both airports. Flight time between the two is around 30 minutes, maybe a little less, price, as little as €25. Take the train between the two, travel time is 6 hours, and it costs €70, if you're lucky you can buy something overpriced to eat, but don't count on it, so pack a lunch and drinks. So why would you ever take the train?

The problem is that Denmark is shaped like a big L and there's no way to connect the ends without building an insanely long bridge.