If you need to store your luggage while exploring Copenhagen, there are a couple of places to do so.
There are baggage lockers placed by Parkeringshus 4 (P4). The price is DKK 50 for a small box and DKK 75 for a large one. Left luggage facilities at the eastern end of Terminal 2.
Lockers are located by the Reventlowsgade entrance at Copenhagen Central Station.