Italy top the group after making a strong start to the campaign while Denmark have failed to win in their opening two matches, making the trip to Italy all the more daunting.
Olsen told reporters at the pre-match press conference that he has factored the Azzurri's strengths into his preparations.
He said: "Pirlo is certainly an important player, but we have prepared ourselves in an effort to limit all of Italy and that is not just Pirlo.
"As for Balotelli and Daniele De Rossi, they're great talents and I fear them."
The Danes will look to striker Nicklas Bendtner for goals in Milan, with the forward fresh having not started a game for new club Juventus so far this season.