The Manchester City striker's first Italy goal since his Euro 2012 semi-final brace against Germany and strikes from Riccardo Montolivo and Daniele De Rossi enabled Cesare Prandelli's side to overcome the sending-off of Pablo Osvaldo early in the second half.
"A goal is a very good thing for me," Balotelli told Rai before fielding a series of questions about his future, particularly about whether he wants to move to AC Milan.
"This is the best stadium of them all, the most beautiful. The San Siro is a great ground, but if it had been full it would have been better."
Denmark started brightly with Nicklas Bendtner causing Andrea Barzagli problems in the air, but Italy went closest to taking the lead in the 19th minute when Claudio Marchisio latched on to Balotelli's cut-back and fired in a dipping shot that was only stopped by Simon Kjaer's goal-line clearance.
But Italy took the lead almost immediately, Riccardo Montolivo finishing off a slick passing move by collecting Balotelli's flick before drilling a long-range effort past stationary Denmark keeper Stephan Andersen.
Morten Olsen's Denmark side looked dead and buried but pulled a goal back with the last kick of the first half, William Kvist side-footing home a superb volley from a deflected Lars Jacobsen cross from the edge of the area.
However, Balotelli restored his team's two-goal lead with 54 minutes gone, springing the offside trap and poking another magical Pirlo pass past the onrushing Andersen to seal the three points.
"If we want to do well in the World Cup, we need to be a unit and all work together," Balotelli said.
