The 19-year-old, who already boasts three Denmark caps, is regarded as one of the hottest prospects in Danish football.
Cornelius, who has been linked with a move to Sunderland, admits that he would love to test himself in England's top flight but is happy to stay in Denmark for now.
"I think that the Premier League is the best league in the world and I would love to play there," Cornelius told Bold.dk.
"It would be like a dream coming true. But there is still a long way and I still have plenty to learn.
"I have a contract with Copenhagen for the next four years so that seems like a good timeframe for me, although things change quickly in football so you never know."
Cornelius netted 14 goals in the first half of the Superliga season.