"The demonstration is called #NoWords because that really describes how we feel. We have no words," the vice president of the association, Soren Knudsen, told AFP.
"Obviously, we also want to tell Americans that what Trump said is an insult to us and the values that we defended together," he added.
Trump sparked outrage in Denmark and across Europe on January 22 when he said European NATO troops "stayed a little back, a little off the front lines" during the 20-year conflict in Afghanistan.
The Scandinavian country fought alongside US forces during the Gulf War as well as Afghanistan and Iraq.
In response to Trump's claim, 44 Danish flags, which carried the names of the 44 Danish soldiers killed in Afghanistan, were placed on Tuesday in planters outside the US embassy in Copenhagen.
The embassy removed the flags, before apologising and replacing them.
"We have nothing but the deepest respect for Danish veterans and the sacrifices Danish soldiers have made for our shared security. There was no ill intent behind the removal of the flags," it said in a post on its Facebook page.
It noted that the planters were embassy property and not in the public domain, and the initial planting of the flags had not been coordinated with the embassy.
- Wreath ceremony -
On Friday, the US ambassador himself placed 44 Danish flags in the flowerbeds.
On Saturday, 52 new flags are to be added, with names inscribed on them: 44 for the Danes who died in Afghanistan, and eight others for those killed in Iraq.
The demonstration is to begin at 1:00 pm (1200 GMT) with a brief ceremony at Copenhagen's monument to fallen soldiers, where a wreath will be laid.
The procession will then march to the US embassy about two kilometres (1.2 miles) away, where a minute of silence will be observed.
Organisers told AFP they expected well over a thousand people to take part.
"We were very pleasantly surprised by the support we received. It all started within the association and grew into a large event," Knudsen said.
Denmark has traditionally been an ardent US ally, and continues to call Washington its "closest ally" despite tensions over Trump's recent interest in taking over Greenland, an autonomous Danish territory.
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