Prandelli has admitted that a poor start to the second half nearly cost them dearly, while praising a much-changed side's fighting spirit to earn a last-gasp point.
He told Rai Sport: "We suffered above all at the start of the second half, as for 20 minutes we focused only on defending.
"This team is accustomed to playing and taking control, so if we lose that then we become vulnerable. Once we began playing again we created some good chances. Denmark had to win and therefore gave perhaps even more than they had, but we got the draw.
"We know there are moments where you must not drop concentration. We dropped back by 10 metres before the break and allowed Denmark to put those crosses in."
Italy will conclude a successful qualifying campaign in Naples on Tuesday, with Armenia the visitors to the Stadio San Paolo.