It is a legal requirement that 2 witnesses are required in attendance for every wedding ceremony in Denmark & Gibraltar, these can be family or friends, or they can be arranged with the town hall. In Denmark witnesses are always organised for you if you need them in any Town Hall for a weekday ceremony - there is no extra charge for witnesses on a weekday.
There are certain Town Halls that will require you to bring 1 or 2 witnesses for a Saturday (Not places like Copenhagen City Hall or Aerø though, these are always provided for you at no extra charge). You will always need to provide 2 witnesses for your marriage in Gibraltar, so if you are travelling just the 2 of you Denmark may be a better option.