You and I must read different news channels then. I tried to search for it on different news sites. This is the last article DR wrote about the subject:
http://www.dr.dk/ligetil/antallet-af-indbrud-er-faldet-markant
Yes, burglaries skyrocketed at a point in time (after having steadidly declined for a decade), but now the numbers have declined back to a point that is even lower than the lowest point before the inclusion of eastern european countries into the EU (and even with the inclusion of those countries, the amount of burglaries never exceeded the amount that took place in 1995). The stats talk for themselves. Even if we have the worst numbers in western Europe (a stat I can't be bothered to verify), we are still making progress. So it would seem incredibly asinine to suddenly spass out about Romania or the baltic countries, when burglaries have declined heavily even with them being part of Schengen. You could spass out back in 2007, but not now.
The statistics with immigrants in custody seems consistent with the increase in immigration, and before such a number becomes interesting you really have to compare it to how many of the immigrants on Copenhagen DOESN't commit crimes. I don't really know what can be done in that area, that is not already being done. We can't suddenly start blocking out immigrants (as is also mentioned in the article, the vast majority of non-eu immigrants are law abiding visitors) on the off chance that they are here to commit a crime. As long as the numbers are as small as they are, and the crimes as petty as they are, I think the status quo will continue.
As for costs, I can see that they set out a goal that 90% of criminals with EU citizenship should be returned to their home countries. I don't know what progress has been made there, but it appears to me that such an agreement should be made on EU level. But I agree that it should not be our job to rehabilitate foreign criminals.