Denmark and Norway were forced to close their main airports temporarily due to drone sightings until they were reopened on Tuesday.
Danish police were unable to confirm the type or the number of drones seen around Copenhagen Airport, they told a press conference.
"It is not known where the drones came from. It is also not known where they have since flown," Deputy Police Inspector Jakob Hansen said.
Operations at Copenhagen airport resumed at around 00:30 local time (23:30 BST) after flights were suspended for almost four hours following a drone sighting. Oslo airport also reopened after about four hours of airspace closure.
Danish police also said that "a number of measures will be implemented" as part of the investigation, but would not confirm what these measures might be.
On Monday evening, two to three large drones were reported flying in the area around Copenhagen Airport, according to authorities.
Take-offs and landings at the airport were suspended for approximately four hours.
In a statement, the airport warned of ongoing delays and cancellations, and urged passengers to check the status of their flight with their airlines.
Asked by reporters if the drones were of Russian origin, Mr Hansen said he could not confirm or deny this.
In a social media post later, Ukrainian President Volodymyr Zelensky referenced "Russia's violation" of Nato airspace in Copenhagen on 22 September, but did not indicate a source for the information.
EU and Nato leaders have not made a public attribution.
Copenhagen and Oslo airports forced to close temporarily over drones