What does it mean that all of Denmark would be Christian X's bodyguard?

During his reign as King of Denmark, Christian X was known to ride his horse alone through Copenhagen each morning without accompaniment by a security detail. An unsubstantiated but often repeated anecdote suggests that after a German solder commented on how unusual it was for a king to ride alone with no guards, a young boy solemnly replied that "all of Denmark would be the king's bodyguard." This tale is mentioned in chapter 3 of Number the Stars, by Lois Lowry, and its presence in literature, as well as in popular lore, indicates how widespread the anecdote has become, whether it is indeed true or not.
That King Christian continued to ride solo through the streets even after German occupation is striking, and while it may have seemed unwise to outsiders, a figure so revered by and filled with respect for the Danish people simply did not consider it necessary to employ a security detail for such daily outings. The notion of all of Denmark assuming the responsibility of King Christian's bodyguard is demonstrative of the extreme love and devotion displayed for him by the Danish people and is a drastic contrast to the heavily guarded security teams employed by most prominent world leaders, both in the era of Christian X and in current times.
http://kongehuset.dk/en/menu/news/the-story-of-king-christian-x

http://www.auschwitz.dk/Docu/King.htm

https://encyclopedia.ushmm.org/content/en/article/king-christian-x-of-denmark