The 31-year-old has been told he is free to leave Ewood Park after spending almost 10 years at the Championship club as Rovers look to reduce their wage bill.
Manager Gary Bowyer made it clear that Pedersen would not feature in his first-team plans this season, and the player admitted to being thrilled by Copenhagen's attention.
"I haven't had a serious contact with FCK, but I have heard about the interest," Pedersen told Norwegian newspaper BT.
"It is really flattering when a club shows interest in you. In case I get an offer, I will consider it seriously. But I know there are other clubs who are interested in me.
"FC Copenhagen is the biggest club in Scandinavia. They will play in the Champions League and they have reached it because of all the resources they have got."