Lukaku extended his record scoring form for his country with a second-half double as Youri Tielemans and Kevin De Bruyne also netted for Belgium. Denmark scored through Jonas Wind after 17 minutes and Belgium gifted it a second with a comical own goal, credited to Nacer Chadli, four minutes from time.
Belgium finished five points clear at the top of League A Group 2 and will meet world champion France, Italy and Spain in the final four next October. Elsewhere, Italy registered a 2-0 victory over Bosnia & Herzegovina away from home. Andrea Belotti and Domenico Berardi got on the scoresheet for the winning side.
Meanwhile, England registered a comfortable 4-0 win over Iceland. Midfielder Phil Foden hit a double, while Declan Rice and Mason Mount scored in the first half.
RESULTS: Belgium 4 beat Denmark 2; Bosnia & Herzegovina 0 lost to Italy 2; England 4 beat Iceland 0; Poland 1 lost to the Netherlands 2.