This is not a media stunt. All Danish political leaders have been called in for an emergency meeting later today
Having an ally, and especially your strongest ally, tell you that they can’t exclude the possibility of economic or military action against you, is critical, even if it was meant as a joke
He may be using it as a media stunt, but it is having real consequences in the real world already
All of these countries have more allies than just the US. And all of their allies are concerned. It is naive to think that USA can do whatever they want, because nobody can do anything about it.