Several dozen Islamists affiliated to the Bassij force, an offshoot of the Revolutionary Guards, took part in the rally on Wednesday.
Danish flags were set on fire during the protest as demonstrators chanted Death to America, Death to Israel, and The Danish embassy must be closed down.
On Monday, a much larger protest was held outside the embassy compound. Several parts of the embassy along with two diplomatic vehicles were set on fire as demonstrators hurled hand grenades and Molotov cocktails into the site.
The Norwegian embassy in Tehran has also twice come under attack on Monday and Tuesday by the Bassij after a Norwegian daily carried the controversial photos. It too was attacked with fire bombs and stones.