I'm pretty sure you will find peace with your choice. Greenhouses, polytunnels, cold frames... everything can help to grow veggies when it's colder.
Of course it won't be the same as in Italy.... :0)
Have you ever heard of the book 'The Year-Round Vegetable Gardener: How to Grow Your Own Food 365 Days a Year, No Matter Where You Live' by Niki Jabbour?
She lives in Nova Scotia, somewhere in Canada, and I checked: the climate there is not so very different than the climate in Denmark.
I haven't read the entire book myself - just excerpts, but I've read a lot of reviews, and apparently it is full of good tips.
Nice, thank you, no i don't know it, but I'll check it out!