The Danish tax authority has this mentioned in their FAQ [1]. They claim that this is true but, 1) "it is a requirement that your vehicle is primarily used for business purposes abroad", and 2) you must "apply to be exempt from registration tax".
Might just be their interpretation of the law though. It could very well be impossible in Denmark, but if some EU law is making it possible, local law can't block it (even though they might want it to). And even if local law is blocking it, it might be in violation of EU law.
Given we're talking a €100-120K tax difference on expensive cars, you can always consult a Danish tax lawyer and if he thinks it's doable do it anyway. If the tax authority has a problem with it then, then you just take it to court. Seems worth investigating.
[1] See the question "Foreign company cars" here: https://www.skat.dk/SKAT.aspx?oId=2068721