The 22-year-old Angola international has agreed a five-year deal with the Championship club.
Vetokele, who represented Belgium at youth level, moved to Denmark in 2012 after spells with Belgian sides Gent and Cercle Brugge.
He scored 13 goals in 29 appearances in the Danish Superliga last season and featured twice in the Champions League.
Vetokele, who has won two caps for Angola, becomes Charlton's second signing of the summer.
Recently appointed Addicks head coach Bob Peeters brought in midfielder Yoni Buyens on loan from Standard Liege at the weekend.
Charlton Athletic have completed the signing of FC Copenhagen striker Igor Vetokele for an undisclosed fee.