The 19-year-old striker is regarded as one of most exciting young prospects in Danish football and has already gained international recognition.
He has scored 14 goals in the first half of the domestic Superliga season and has reportedly attracted interest from Sunderland.
Cornelius says he would love to one day test himself in the Premier League, although he has no immediate plans to head off on a new challenge.
"I think that the Premier League is the best league in the world and I would love to play there," he told bold.dk.
"It would be like a dream coming true. But there is still a long way and I still have plenty to learn.
"I have a contract with Copenhagen for the next four years so that seems like a good timeframe for me, although things change quickly in football so you never know."