"It is no secret that the Prince for many years has been unhappy with his role and the title he has been awarded in the Danish monarchy. This discontent has grown more and more in recent years," the Royal Danish House's director of communications told tabloid BT.
The royal house confirmed the quotes to Reuters.
"For the Prince, the decision not to buried beside the Queen is the natural consequence of not having been treated equally to his spouse - by not having the title and role he has desired," she added.
Prince Henrik retired last year and denounced his title of Prince Consort.
Since then he has participated in very few official duties and instead spent much of his time at his private vineyard in France, although he is still married to the queen and they officially live together.
In 2015, too, Prince Henrik denounced his title, calling it discrimination.
"It makes me angry that I am subjected to discrimination,' he told the French newspaper Le Figaro.
"Denmark, which is otherwise known as an avid defender of gender equality, is apparently willing to consider husbands as worth less than their wives," the Prince Consort said. "Why just be His Highness but not His Majesty?"
In Denmark, a princess traditionally becomes queen, when her husband takes the throne.
It had been expected that the Prince would be buried next to the Queen, 77, who is to be interred in the Roskilde Cathedral in a sarcophagus made by Danish artist Bjorn Norgaard.
Born Henri Marie Jean Andre de Laborde de Monpezat on June 11, 1934 in Talence, near Bordeaux, he met Margrethe, then the crown-princess, while he was stationed in London as a diplomat.
Upon marrying her, he changed his name to Henrik, converted from Catholicism to Protestantism and renounced his French citizenship to become a Dane.
By the time Margrethe acceded to the throne, the couple had two young children: Prince Frederik, born in 1968, and Joakim, born in 1969.
Henrik retired from public service in January 2016.
