What didn’t King Christian's Danish army fight the Nazis?

From the text:

"Papa," Annemarie had said, finally, into the silence, "sometimes I wonder why the king wasn't able to protect us. Why didn't he fight the Nazis so that they wouldn't come into Denmark with their guns?"

Papa sighed. "We are such a tiny country," he said. "And they are such an enormous enemy. Our king was wise. He knew how few soldiers Denmark had. He knew that many, many Danish people would die if we fought."