Denmark scored through Jonas Wind after 17 minutes, heading home from close range, and Belgium gifted them a second with a comical own goal credited to Nacer Chadli four minutes from time.
"We have proven now we can play difficult games," said Lukaku after Wednesday's victory.
"We can play teams off the park but we also know how to win when its needed even if it is not with our best style. When we need we can play with a strong defence and on the counter attack.
"Our football has developed such that we can be efficient in defence and then in a moment score goals with a single chance," he told a news conference.
The hosts got off to the perfect start when Tielemans fired them ahead in the third minute, beating his Leicester City team mate Kasper Schmeichel with a grasscutter from outside the penalty box that squeezed in between the Danish goalkeeper's outstretched arm and the post at Leuven's Den Dreef stadium.
Yet Wind's equaliser swung the first-half momentum to Denmark, who then created further chances.
Belgium got back on top, however, when Tielemans turned provider for Lukaku's first goal in the 56th minute with a quickly-taken free kick that caught out the Danish defence.
He played it through to De Bruyne, who moved it onto Lukaku whose shot was blocked by Schmeichel but then looped up off the keeper and bounced into the net.
The deficit was reduced when Belgium keeper Thibaut Courtois let a back pass from Chadli slip under his foot and into the net.
Denmark, however, barely had time to register their good fortune before De Bruyne struck Belgium's fourth.