The Foxes lost in the Premier League to Chelsea on Saturday, going down to ex-boss Enzo Maresca.
However, the result did not dampen their spirits, as many of them flew to Copenhagen hours later for a late-night partying session.
According to Danish newspaper Ekstra Bladet, Jannik Vestergaard and Victor Kristiansen, along with Harry Winks and Conor Coady, were present.
Fan footage showed one player holding up a sign that said “Enzo I miss U.”
Leicester sacked manager Cooper a day later, with the team in 16th place in the league.