A weapon, thought to be a gas pistol, was fired during the incident, according to police deputy inspector Brian Belling.
Police have posted images from the robbery on social media in an attempt to identify the robbers.
Vi søger disse mænd for røveri imod stormagasinet Illums i dag kl 1155. Kender du dem, så ring 114 #politidk— Københavns Politi (@KobenhavnPoliti) November 13, 2017
Mistænkte A: pic.twitter.com/MkS6MUuinV— Københavns Politi (@KobenhavnPoliti) November 13, 2017
Mistænkte B: pic.twitter.com/nKueKXSklT— Københavns Politi (@KobenhavnPoliti) November 13, 2017
Mistænkte C pic.twitter.com/tTgMKnsMY8— Københavns Politi (@KobenhavnPoliti) November 13, 2017
The images show three men who are possibly wearing disguises in the form of masks, wigs, hats, glasses and beards.
Witnesses said that the men spoke to each other in a foreign language, reports Ritzau.
“We are looking for three presumably foreign men, but cannot yet say anything certain about identity. They could be Eastern Europeans or South Americans,” Belling said.
The three robbers entered the store shortly before 12pm on Monday.
They made threats using a pistol and were able to escape with some watches. The exact amount taken is currently unconfirmed.
The pistol, thought to be a gas pistol was fired inside the store during the robbery, and again as the three escaped through nearby streets.
No injuries were reported.
Police believe an accomplice to have been waiting to in a car on the nearby Antonigade street, to which the robbers fled along the Pilestræde and Strøget thoroughfares.
The car in question was a grey Audi 80 that was stolen in central Copenhagen on Sunday.
Police carried out forensic investigation in the store on Monday afternoon, and have also spoken to witnesses and studied security footage.
Possible witnesses are encouraged to contact police on the 114 telephone number.