One of Bond’s many sly euphemisms for sex, this particular quip comes from Tomorrow Never Dies, during a scene at Cambridge where Bond is interrupted mid-tryst by an urgent call from Moneypenny. Unfazed, Bond answers the phone without missing a beat, continuing his extracurricular activity while unapologetically delivering the line.
The “Danish” in question, of course, is not a pastry but Professor Inga Bergstrom, and the line works precisely because of its double meaning. It’s a great play on words from Bond and it’s interesting that he was potentially learning the Danish language, maybe for a mission? Or more likely just to get closer to the professor.

