The lions were given a lethal injection on Monday to make way for a new three-year-old breeding male.
According to the Copenhagen Post, the destroyed animals were a 16-year-old male, a lioness of nearly the same age, and two younger females.
In a statement, the zoo said: "Because of the pride of lions' natural structure and behaviour, the zoo has had to euthanize the two old lions and two young lions who were not old enough to fend for themselves".
Steffen Stræde, the head of Copenhagen Zoo, maintained that the lions had to be put down, partly to avoid inbreeding between the two young lions and their father.
In February, the zoo came under fire for dissecting an 18-month-old giraffe called Marius despite an online petition and vast public outcry.
Marius was put down using a bolt pistol and its meat fed to carnivores at the zoo.
The incident took place in front of visitors to the zoo, many of them children.
The zoo said they had taken the decision to kill the animal to keep the giraffe population "genetically sound" and were not worried about backlash from the public.
Animal Rights Sweden said the killing of Marius highlights what they believe zoos do to animals regularly.
A statement from the said: “It is no secret that animals are killed when there is no longer space, or if the animals don’t have genes that are interesting enough.”