Daniel Sturridge's goal eight minutes from time gave England a 1-0 win in their final match before Hodgson selects his party for Brazil.
England stuttered through most of the match, but Raheem Sterling, Adam Lallana and Luke Shaw all pushed their case for inclusion with impressive individual displays.
Hodgson will select his 23-man squad, along with seven standby players, on May 13 and Rooney believes the England manager now has a hard job on his hands.
"This was the last squad before the manager names his 23 and I thought it was a good step towards our next get-together," the Manchester United striker said.
"There were 29 of us here and we all wanted to show everyone what we have got. We all wanted to show what we can do and I am sure the manager will have a bit of thinking to do now. He has some tough decisions to make."
Shaw came on at half-time to replace Ashley Cole, who put in a solid display despite his lack of first-team football with Chelsea.
Although he is just 18 years old, Shaw did not look out of place either. The defender combined well with his Southampton team-mate Adam Lallana on the left and Rooney was impressed with the debutant's efforts.
"I thought he did really well," Rooney said.
"He was comfortable on the ball, he is a good athlete and he is really quick. It's down to the manager now (to decide if he goes to the World Cup)."
Given that Wednesday's game was the last chance to impress Hodgson at close quarters, England's slow start was surprising and disappointing for the 68,000 who turned up to watch at Wembley.
Rooney was relatively pleased with the overall display though and he also praised the way in which Sturridge scored his third international goal in 10 games.
"I was pleased for 'Studge'. It was an important goal for him and he took it really well," Rooney said of the in-form Liverpool frontman.
"We played a different system with me, Daniel and Raheem interchanging a little bit and I thought it worked quite well.
"Obviously there is room for improvement but we can work on that and I think overall it was a fully-deserved victory."
ENGLAND 1 DENMARK 0
1. Joe Hart
2. Glen Johnson
5. Gary Cahill
6. Chris Smalling
3. Ashley Cole 46'
7. Jack Wilshere 59'
8. Jordan Henderson 77'
4. Steven Gerrard
11. Raheem Sterling 86'
10. Wayne Rooney 60'
9. Daniel Sturridge 88'
Subs
12. Luke Shaw 46'
22. John Ruddy
13. Ben Foster
23. Fraser Forster
14. Leighton Baines
15. Steven Caulker
16. Michael Carrick
17. James Milner 88'
18. Frank Lampard
19. Ross Barkley
20. Tom Cleverley
21. Adam Lallana 59'
24. Alex Oxlade-Chamberlain 77'
25. Andros Townsend 86'
26. Rickie Lambert
27. Jermain Defoe
28. Danny Welbeck 60'
29. Jay Rodriguez
Daniel Sturridge scored a late header to help England avoid another disappointing result at Wembley against Denmark.
Sturridge leapt high to head home Adam Lallana's cross with eight minutes left of what was otherwise an uninspiring 1-0 win.
This match was billed as a grand audition for England's fringe players to prove to Roy Hodgson that they deserved a place on the plane to Brazil.
For the most part it was something of an anti-climax though, as England lacked purpose and a cutting edge in the first half in particular.
When Cesare Prandelli looks at the tape of the first 45 minutes of this encounter at Wembley, the Italy coach will hardly be quaking in his boots.
But Hodgson had always earmarked this game as one to experiment, so a little leeway should be given to the England manager.
The first half experiment of deploying Sturridge out wide did not work, though.
Sturridge, scorer of 32 goals in 39 games while playing as a main forward, was inexplicably positioned on the left wing.
It was only when Sturridge was moved into the centre after the break that he had the biggest impact, and his goal was a superb poacher's effort.
Other positives should be taken too. Raheem Sterling hit a post and won the man of the match award.
Luke Shaw did not look out of place when he came off the bench to make his debut at left-back, but Ashley Cole also put in a very impressive 45 minutes for the Three Lions.
But the feeling remains that Hodgson still has a lot of work to do with his players by the time England's World Cup opener against Italy takes place on June 14.
The 68,573-strong Wembley crowd managed to replicate the atmosphere of Sunday's League Cup final following a touching minute's applause to Sir Tom Finney.
But neither team responded and a dull first half unfolded.
Hodgson's suspect line-up did not help. Sturridge, one of five Liverpool players in the home team, started wide and just nine minutes in he was stationed at left-back, defending Lars Jacobsen's cross.
The only flash point in the opening 15 minutes came when Daniel Agger caught Jack Wilshere's left ankle in a challenge.
The midfielder slammed the turf in agony, and Hodgson came to the touchline looking concerned, but after two minutes' worth of treatment, the Arsenal man was fine to carry on.
Denmark barely ventured over the halfway line, but England offered little down the other end either.
Steven Gerrard pinched the ball off Casper Sloth, but the defender took the England captain down before he could shoot.
Sloth was issued with a yellow card and, had it not been a friendly, he could have seen red. It did not matter much anyway as Wayne Rooney put the resulting free-kick high and wide of goal.
Rooney pierced the back four with a clever run, but Kasper Schmeichel came to the rescue. The goalkeeper then stood carefree as Gary Cahill's volley sailed over.
Joe Hart was called into action for the first time after half an hour to collect a long ball over the top before Nicklas Bendtner could finish.
Jakob Poulsen then set home nerves jangling when he cut in from the right flank and squared the ball across the box, but Gary Cahill and Cole cleared before Bendtner could convert.
The chance spurred England into life. Sterling and Peter Ankersen slid in at the far post to meet Cole's dangerous cross but the ball struck a post and Denmark survived.
Schmeichel kept his team level just before the break when he spread his body wide just like his father used to do to deny Sturridge.
Hodgson re-jigged his team at the interval with Shaw replacing Cole. Sturridge also swapped places with Rooney, but England could still not find a cutting edge.
Boos rang out as Rooney was replaced by Danny Welbeck. England's other substitute, Adam Lallana, showed promise with a clever turn which fooled two Danish defenders, but there was still no threat to Schmeichel.
Welbeck then impressed, turning and firing a low shot which the Danish stopper saved.
The Danes were still a threat on the break, though. Hart spread himself wide to deny Morten Rasmussen, who had replaced the ineffective Bendtner two minutes earlier.
Henderson then flicked a ball through to Welbeck but Schmeichel made himself look like a giant starfish to deny the Manchester United striker.
Schmeichel was there to deny England again soon after. This time the Leicester man punched Sturridge's fierce shot away.
Just as some supporters started heading for the exits, Sturridge won the game for England.
Sterling found Lallana with a short corner and the Southampton midfielder lifted a delightful chip into the box which Sturridge converted. It was just his third England goal.
The relief inside was palpable as Sturridge swayed his hips in celebration.
However, if England are to enjoy the Samba in Brazil this summer they will have to play much better.