While it was reported the prince - who has his elder two children with first wife Alexandra, Countess of Frederiksborg, and the younger two with spouse Princess Marie - was notified about the decision in May, he insisted that wasn't the case and he was made aware less than a week ago.
He clarified: "I was given five days' notice to tell them. In May, I was presented with a plan which, by and large, was that when the children each turned 25, it would happen. Now I had only five days to tell them. Athena turns 11 in January."
The queen has insisted removing the titles will be "good" for her grandchildren.
She said: "It is a consideration I have had for quite a long time and I think it will be good for them in their future. That is the reason."
Asked if the move was "for her grandchildren's sake", she added: "Yes, of course."
The queen insisted she "hadn't seen" any suggestions the quartet felt "ostracised", despite reports.
She said: "Well, you have to see how you ... I haven't seen it myself, I must say."
When the decision was announced, it was explained Margrethe wanted her grandchildren to be more free to "shape their own life" away from the restrictions of the royal family.
The palace said in a statement: "With her decision, Her Majesty The Queen wishes to create the framework for the four grandchildren to be able to shape their own lives to a much greater extent without being limited by the special considerations and duties that a formal affiliation with the Royal House of Denmark as an institution involves."
The decision does not apply to the four children of Crown Prince Frederick and his wife Crown Princess Mary, as Prince Christian, 16, Princess Isabella, 15, and 11-year-old twins Prince Vincent and Princess Josephine will continue to be part of the royal house.
