Horsholt has claimed the group stage of the Champions League is too difficult to reach for clubs from countries like Denmark, Belgium and Czech Republic, while he believes the UEFA Europa League does not provide enough commercial opportunities for those teams.
Copenhagen qualified for the play-off round of the 2014-15 Champions League on Wednesday, overcoming Dnipro Dnipropetrovsk 2-0 in Denmark's capital after claiming a scoreless draw in Ukraine last week.
But in an interview with Norwegian newspaper Bergens Tidende, published before Copenhagen's win, the Danish CEO argued clubs from smaller European countries should not bother with the Champions League.
"I think it is too bad that we don't have a realistic alternative to the [UEFA] Champions League," Horsholt said.
"One should have created a Champions League for the countries that find it difficult to qualify to the Champions League today. One's own tournament, which could have sold the [television] rights to the countries where the clubs are from.
"I could imagine that we could have easily gotten 12-14 associations on board."
Having finished second in the Danish Superliga last season, Copenhagen will be placed in the 'League Route' of the Champions League play-off round, meaning they will have to beat one of the likes of Arsenal, Napoli or Porto for a spot in the group stage.
In the 2009-10 season, UEFA president Michel Platini split the qualifying system into a 'Champions Route' and 'League Route' to ensure more league title winners would play in the Champions League each season, rather than the group stage being filled almost exclusively by clubs from the bigger leagues - such as the Premier League, La Liga and the Bundesliga.
Platini's changes saw Copenhagen qualify for the group stage in 2010-11 and 2013-14 with the nine-time Danish champions reaching the round of 16 in 2011.
In the 2010-11 Champions League, Copenhagen drew with eventual title-winners Barcelona at home.
But Horsholt believes clubs from Denmark, Sweden, Norway, Lithuania, Belgium, Switzerland and Czech Republic - amongst others - would be better off financially with their own Champions League.
"We're talking about over 100 million people as a commercial platform, so why not? The key to success in the small countries is that we organise ourselves," he said.
"Then we can forget the differences between countries and focus on a perspective that secures us a greater share of the commercial revenues. Otherwise we'll become smaller and smaller and the road to success will become more and more difficult."
But Malmo coach Age Hareide - who has coached all over Scandinavia - has dismissed Horsholt's idea, claiming it would simply institutionalise the smaller countries' limitations.
"It would be like a second division and I don't agree with that," Hareide said.
"It is important for the players to have the opportunity to meet the best in Europe. It both stimulates and hones [them]."
