COPENHAGEN, Denmark—The Danish security service said Thursday that it has arrested four people with Denmark’s two intelligence agencies on suspicion of “disclosing highly classified information from the intelligence services.” In a brief statement, the domestic Danish Security and Intelligence Service, known by its Danish acronym PET, said the four are current and former employees of the two services. Denmark’s other intelligence agency is the Danish Defense Intelligence Service, known by the acronym FE. The arrests were made Wednesday together with the police and searches were made at a number of different addresses, the domestic security agency said. It added that the arrests “are the result of a lengthy investigation into leaks from the intelligence services. The investigation is still ongoing.”