Lost land after winning a war?
Solution 1:
Most likely what happened is that the "claim" on Denmark was not your personal claim, but that of one of your vassals. Since you cannot have a king as a vassal (I assume you are not an emperor), upon victory, your vassal gained the Kingdom of Denmark, became independent, and also took his existing land with him.
To avoid this in the future, pay attention to what and whom you're actually declaring war for! The tooltips on the declare war menu should clearly delineate what the potential outcomes of a war are.