The captains of England, Wales, Belgium, the Netherlands, Switzerland, Germany and Denmark will not wear "OneLove" armbands after FIFA made it clear they would be booked, the associations said in a joint statement on Monday.
Hjulmand, who spoke before the joint statement was published, said a move to punish teams for the use of the arm band carried a "controversial message".
"Imagine going on the pitch with a clear yellow card to start with," he told a news conference. "That is not possible. We have to make sure that it's not up to players to make that decision."
While it is not solely aimed at the rights of the LGBTQ community, the armband carries special significance in Qatar, where homosexuality is illegal and punishable with prison.
"This is not something invented for this occasion. It's something we have done before," Hjulmand said. "I can't see the problem to be honest. For me, it's also a big question mark."
Denmark qualified for the World Cup by winning nine of 10 matches and conceding only three goals, making them solid contenders to reach the latter stages of the tournament.
"This group of players has the quality to win," Hjulmand said. "I mean win everything. Are we the favourites? No. But we can beat everyone on the day."
Tunisia, Denmark's first opponents, have failed to reach the knockout stage in their five previous appearances at the finals. In their five World Cup appearances, the Danes were knocked out in the group stage only once.
Denmark's World Cup opener will also mark a personal victory for playmaker Christian Eriksen, who suffered a near-fatal heart attack in their Euro opener in Copenhagen last year but who has since made a full recovery.
"We are all happy and thankful that Christian is here after what happened," Danish captain Simon Kjaer said. "As a football player, probably one of the best I'm ever seen in terms of quality and love of the game. Every minute he plays, it's only a plus for Denmark."
