May I stay in Denmark with my minor children and not return to Israel with them, because my marriage to their Israeli father has ended?

NO! The end of your marriage does not give you a legal cause to remove your minor children, from Israel, unless your husband agrees for them to stay living abroad. The unilateral removal of a child from the country of his/her habitual residence (here - Israel) is against the law and may expose you to Hague Convention legal proceedings, for international child abduction.