Stunned citizens in what is usually one of the world's most peaceful countries flocked to Monday's rally in a square near the cultural center where the first attack took place. Many held flaming torches aloft, illuminating the chilly winter night.
A police spokesman estimated that some 30,000 people had turned out to pay tribute to the two victims.
The first, 55-year-old filmmaker Finn Norgaard, was killed when a gunman opened fire during a debate on free speech on Saturday.
The same attacker then targeted the city's main synagogue, killing 37-year-old Dan Uzan.
"Tonight I want to tell all Danish Jews: you are not alone. An attack on the Jews of Denmark is an attack on Denmark, on all of us," Prime Minister Helle Thorning-Schmidt told the crowd at the vigil.
Faced with the spectacle of European Jews being again targeted by extremists, just over a month after similar attacks in Paris, governments were scrambling to reassure their Jewish communities.
Thorning-Schmidt said Danes had come together to "insist on living free and safe lives in a democratic country."
"When others try to scare us and tear us apart, our response is always a strong community," she declared.
U.S. President Barack Obama expressed solidarity with Denmark in a phone call with Thorning-Schmidt on Monday. The two leaders "agreed on the need to work together to confront attacks on freedom of expression as well as against anti-Semitic violence," the White House said in a statement.
The FBI are helping Danish authorities probe the attacks, a senior U.S. official confirmed, declining to say what kind of help the U.S. was providing.--AFP