"At least 55 people questioned as a preventative measure were of foreign origin," Rasmus Bernt Skovgaard, a police spokesman, told AFP news agency.
"Our Climate - Not Your Business" argues that industry is turning the climate crisis into a business opportunity.
"We want to say no to criminal businesses which are responsible for the change of the climate and are now pretending to save it, guided by their own mercenary interests," a protester said.
Saturday's demonstration is expected to gather between 50,000 and 80,000 people.
The six-kilometre march, organised by 515 organisations from 67 countries, will depart from the Christiansborg castle where parliament sits.
They demonstrators plan to cross the city centre to end up at the Bella Centre, where the climate conference is being held.
Police have warned potential agitators that they will respond "firmly" to acts of violence.
"Our hope and goal is that this big demonstration will be a peaceful party, festive and without mayhem," Flemming Steen Munch, a police spokesman, said.
"But we know from experience that some destructive elements will infiltrate the demonstration."
Friday's protests, which police said involved about 500 people, were the first at the December 7-18 UN climate change talks.