The second half of Wednesday's UEFA Champions League third qualifying round first leg between Dnipro and Copenhagen was delayed for over 10 minutes after fans of the Ukrainian club attempted to enter the section reserved for away supporters.
The Dnipro fans were held off by Copenhagen's visiting supporters and the stadium stewards but Horsholt was not willing to thank local security afterwards.
The match had initially been moved to Kiev to ensure Copenhagen would not be required to travel to Dnipropetrovsk in eastern Ukraine, where Russian separatists and Ukrainian forces continue to fight.
"That, which has happened, is totally unacceptable and it is something we want no association with," Horsholt told Ritzau.
"Security for our travelling fans on such a trip should be properly organised and it is exactly for that reason you have divided stadiums with special, closed off sections, where the away team's fans need to be and where all ours were situated, as they should."
"But when we can see that the local troublemakers are allowed to move from the home team's section to the away team's, directly through the barrier, it is a security error."
The match eventually finished 0-0 with the second leg set to be held in Copenhagen on August 6.
While Dnipro may be punished for the behaviour of their fans, Horsholt was not interested in calling for any particular sanction.
"It isn't up to us to work out what consequences this should have for the organiser or the local authorities," he said.
"We are in regular discussions with UEFA and we will follow this case closely all the way to its conclusion but it is UEFA, and only UEFA, who shall decide exactly what has happened and what consequences there shall be."
The winner of the tie will progress to the final play-off round for a spot in the Champions League group stage.
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