The Germans notched two straight victories over Portugal and Netherlands to lead the group with six points but they could still be eliminated if things do not go their way in Lviv on Sunday.
"The [2-1] victory over Netherlands felt like a qualification but we have come back down to reality," Bierhoff said on Saturday before the squad's departure for Ukraine.
"We are not through yet so we have to be extremely careful against Denmark," said the former Germany striker.
Denmark threw the group wide open following a surprise 1-0 win over Netherlands in their opener before losing 3-2 to Portugal.
Germany need a point to make sure they advance but the group qualifying permutations could be complicated if Germany lose and Portugal, with three points, beat the Dutch on Sunday.
In that case the Germans could oust the Portuguese only if they lose by a single goal margin and score two or more goals.
Denmark, who are also on three points, would qualify if they beat Germany, whatever the score, if it becomes a three-team head-to-head 'mini-league' with Portugal.
Three-time European champions Germany, chasing their first title since 1996, have never gone through a Euro stage with straight victories, though they did break one German record by winning all their qualifiers to reach the tournament.
"I do not think about these records," said Bierhoff. "We also won all 10 of our qualifiers. But what is important is that we win our last group game and set up our last eight match here in Gdansk."
