The theft of the bronze sculpture happened in July but police have just released CCTV footage of the robbery.
It shows two men walking into the Glyptoteket museum and removing The Man with the Broken Nose from its plinth before walking out.
The art work made in 1863 is thought to be worth $300,000 (Â£190,000).
Chief investigator Ove Randrup said the theft of the 25.5cm (10.4-inch) art work happened on 16 July.
Danish police say they believe the thieves visited the museum a week before the theft in order to loosen the sculpture from its base and disable the alarm.
Interpol and Europol have now joined the hunt for the men.

Police and Crime Commissioner Simon Hayes said the Ms Pinkney was "an incredibly strong candidate".
If she is approved, Pinkney will take over from Andy Marsh.
Ms Pinkney is currently the Deputy Chief Constable of Sussex Police. Hampshire is currently being run by acting chief constable Graham McNulty.
She said: "I am delighted to have been selected as the preferred candidate, and it will be an honour to have the opportunity of serving alongside them."
She received the Queen's Police Medal in the 2016 New Year's Honours List.
Mr Hayes added: "Olivia was an incredibly strong candidate and will bring a wealth of operational experience and strategic leadership to the chief constable role."

Prof Dame Sally Davies said bacteria were becoming resistant to current drugs and there were few antibiotics to replace them.
She told a committee of MPs that going for a routine operation could become deadly due to the threat of infection.
Experts said it was a global problem and needed much more attention.
Antibiotics have been one of the greatest success stories in medicine. However, bacteria are a rapidly adapting foe which find new ways to evade drugs.
MRSA rapidly became one of the most feared words in hospitals wards and there are growing reports of resistance in strains of E. coli, tuberculosis and gonorrhoea.
Prof Davies said: "It is clear that we might not ever see global warming, the apocalyptic scenario is that when I need a new hip in 20 years I'll die from a routine infection because we've run out of antibiotics."
She said there was only one useful antibiotic left to treat gonorrhoea.
"It is very serious, and it's very serious because we are not using our antibiotics effectively in countries.
"There is a broken market model for making new antibiotics, so it's an empty pipeline, so as they become resistant, these bugs, which they would naturally but we're breeding them in because of the way antibiotics are used, there will not be new antibiotics to come."
Possible solutions will be included in her annual report to be published in March.
The World Health Organization has warned the world is heading for a "post-antibiotic era" unless action is taken.
It paints a future in which "many common infections will no longer have a cure and, once again, kill unabated".
Prof Hugh Pennington, a microbiologist from the University of Aberdeen, said drug resistance was "a very, very serious problem".
"We do need to pay much more attention to it. We need resources for surveillance, resources to cope with the problem and to get public information across.
But he said it was not a problem entirely of the UK's making.
"People are going abroad for operations, going abroad for, let's say, sex tourism and bringing home gonorrhoea which is a big problem in terms of antibiotic resistance - and then there's tuberculosis in many parts of the world.
Prof Pennington said the drugs companies had run out of options too as all the easy drugs had been made.
"We have to be aware that we aren't going to have new wonder drugs coming along because there just aren't any."
Police in Denmark are hunting for two thieves who stole a small bust by the French sculptor Auguste Rodin from a museum in Copenhagen in broad daylight.
[NEXT_CONCEPT]
Hampshire could have its first female Chief Constable by 11 March after Olivia Pinkney has been named the force's preferred candidate.
[NEXT_CONCEPT]
The rise in drug resistant infections is comparable to the threat of global warming, according to the chief medical officer for England.