All four were suspected of breaking Denmark's terrorism law while in Syria, and were arrested in the Copenhagen area, police said in a statement without giving any further information on their identities.
"The suspects have been identified through investigations carried out in close cooperation between the Danish Security and Intelligence Service and Copenhagen police," the statement said.
Under Danish terrorism law, "letting oneself be recruited to commit acts of (terrorism)" is punishable with up to six years in jail.
A person living at the address had links to one of Copenhagen's criminal gangs, police later said on Twitter.
"The arrests took place as part of the effort against people letting themselves be recruited to terror groups in the war-torn areas in Syria and northern Iraq," police said.
A preliminary hearing was scheduled to be held on Friday.
Europe is on edge after the Paris attacks in November and last month's bombings in Brussels, both blamed on homegrown militants radicalised and trained by IS.
Data from Denmark showed that 125 people had left the country to fight in Syria or Iraq, and that 62 of those were believed to have returned to the Scandinavian country.
The Danish city of Aarhus has drawn international attention for its "soft-hands" approach to battling the radicalisation of young Muslims with social techniques used in gang exit strategies.
A Danish-Palestinian gunman -- seemingly inspired by the deadly assault on French satirical weekly Charlie Hebdo -- killed a filmmaker and a Jewish security guard in twin attacks last year.
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