I have an EU blue card, is it possible to go to Denmark with this EU blue card?
A German EU Blue Card is also a residence permit from a Schengen country (namely Germany) and as such exempts you from any potential Schengen short-stay visa requirement. You can therefore use it to enter Denmark for a short visit either directly from Germany or from anywhere else inside or outside the Schengen area.
Beyond that, Denmark does not participate in the EU Blue Card system, which means that you cannot use the special Blue Card rules to move or work there. In that case, you would have to apply for the relevant Danish long-stay visa from your current place of residence before entering Denmark. This is why you may have heard that the EU Blue Card doesn't apply in Denmark (which is true in the sense I just explained but doesn't mean that visits are not permitted).