This is the first time Madrid have conceded four goals since letting in five against Barcelona in October 2018 and puts the brakes on their recovery that had followed a rocky start to the season.
France went through after goals from Raphael Varane and Antoine Griezmann, after a mistake by goalkeeper Fernando Muslera, secured victory.
France became the first team to reach the World Cup semi-finals on Friday after an assured 2-0 win against Uruguay.
Deschamps made six changes to the starting XI that beat Peru 1-0 and his side happily played out a mutually beneficial stalemate with Denmark.
France defender Raphael Varane is to wear the captain's arm band during his national team's upcoming 2018 FIFA World Cup match against Denmark, saying on Monday it was an honour to do so.
Denmark require just a point to join France in the knockout stages, and could even pip Les Bleus to top spot in Group C with a victory.
The 24-year-old also confessed he had a bizarre experience playing under Portuguese coach Jose Mourinho at Real Madrid.