Burning books is pretty sad. However, the idea of "all hell breaking loose" and "grave consequences" seemingly are threats of violence from Muslims.
There is an important difference between attacking a belief system or a text and attacking people. Its ironic that the islamic extremists are responding to the demonstration with just the kind of behavior which caused the demonstration in the first place. Incidents in the recent past where there were violent protests or even murders as a result of things deemed "offensive" by Muslims lead right wing Danes to feel their free speech and culture are being threatened. hence they start reacting.
In my view the Danish right are idiots, but they have every right to do as they are, both in danish law and morally. I feel, however, that the reaction may again be wrong legally and morally. I just hope the Muslim extremists keep their heads and simply have a counter protest, perhaps burning a few Danish/American/Israeli/British flags as usual (hypocrites).