The 22-year-old is a regular for the Denmark Under-21 team and is pushing for a spot at senior level.
The Blues, per The Mail, want to bring in a new keeper to compete with Robert Sanchez.
They are not entirely convinced that he is good enough to be their undisputed no.1.
Leicester goalkeeper Mads Hermansen, who worked with coach Enzo Maresca last season, is also being linked to the Blues.
Djordje Petrovic and Sanchez were signed last summer, but one of them may leave if a new keeper arrives.
