Local media report a 28-year-old woman was fined after getting into a scuffle with a woman trying to remove her veil.
The country's much-debated "Burqa Ban" has prohibited full-body burqas, as well the niqab.
Police spokesperson David Borchersen said a fight broke out after the Muslim woman walked into the other woman, who tried to rip her face veil off, at the top of some escalators.
Both women were charged with disturbing the peace.
People demonstrate in Copenhagen, Denmark supporting the new ban on garments covering the face.
The police took a photo of the woman in the niqab, as well as securing other video evidence from surveillance cameras in the shopping centre.
Veiled women take part in a demonstration against the veil ban.
She was also informed she would receive a fine of 1,000 kroner ($156/€134) in the mail. But the law - popularly known as the "burqa ban" - is seen by some as directed at Muslim women who choose to wear the face veil in public.
The Danish law allows people to cover their face when there is a "recognisable purpose" like cold weather or complying with other legal requirements, such as using motorcycle helmets.
Civil liberties campaigners and Muslim women's advocacy groups have argued that the ban is discriminatory.
Around 13-hundred people - mostly women - sported masks, niqabs and full-body burqas, as they marched, . despite the various penalties including an 120 US dollar fine for first-time offenders or up to six months in jail for repeated offences.
Similar full or partial bans against wearing a veil are also in place in France, Austria, Bulgaria and the German state of Bavaria.