The group of terrorists arrested in Copenhagen had plans to seek revenge for the publishing of the Mo the Paedophile cartoons. It seems that they are denying that they had any intention of doing such a thing. However, the special forces involved with counter-terrorism would not have swooped upon these Muslim Jihadist fanatics if they did not suspect that their plans were about to be put in motion.
Der Spiegel has an interesting article on the alleged terrorists, as well as their probable links to David Headley who was involved in the planning of the Mumbai massacre.
Danish and Swedish authorities are currently investigating links to the attempted plot by David Headley. Der Spiegel relates:
“What is known is that authorities in Sweden and Denmark are currently investigating whether there are any connections to the so-called "Mickey Mouse Project." That terror plot, which was also cantered on Jyllands-Posten, was foiled with the arrest of David Headley, a United States citizen of Pakistani origin, at an airport in Chicago in October 2009.
There is a likelihood that the plan foiled on Wednesday was at least inspired by Headley's plot. Indeed, both apparent plots bear strong similarities.
For his part, Headley was operating on behalf of top terrorist Ilyas Kashmiri. The Pakistani is the head of his own terror group, Harakat ul-Jihad Islami. In addition, he has close and very explosive connections to the terror groups Lashkar-e-Taiba (LiT) and al-Qaida. Initially, Headley also served on behalf of LiT and scouted targets for them that would eventually be attacked in the terror strikes in Mumbai in November 2008. Headley had also filmed the site of an attack in the Indian city of Pune before a bomb exploded there -- in front of a German bakery. Kashmiri later claimed responsibility for the attack”
You can read more here