Germany won 2-0, with the Danes furious over two VAR decisions.
Denmark were denied a goal by VAR after Crystal Palace defender Joachim Anderson's effort was chalked off for offside against teammate Thomas Delaney.
Then Anderson was judged to have handled the ball inside the Denmark area, leading to Kai Havertz to convert his penalty for Germany.
"'It was a wild game. I understand why Denmark are annoyed," he said. "The penalty decision is harsh but that's the rule. He (Andersen) didn't handle the ball intentionally. I would be annoyed too if it was the other way round but I'd have to accept it."
Nagelsmann insists he supports VAR.
"Offside is a factual decision. I know it's hard to accept for them as it's only a few centimetres. I am a fan of VAR and it's a good thing to have it in football," he added.