After falling behind to an early Samuel Eto'o goal, Denmark hit back through Nicklas Bendtner and Dennis Rommedahl to send the Africans out of the tournament and sealing rivals Netherlands' place in the second round at the same time.
While a number of the early games at the World Cup failed to set pulses racing, this one continued the trend set over the last three days of more exciting encounters.
Gronkjaer said he thought the seesaw battle which settled two of the issues in Group E at Loftus Versfeld had been a real crowd-pleaser.
"This was not a game like you've seen at the World Cup so far," he told Reuters. "There were so many chances, so many mistakes.
"We were on our heels at times, we were lucky at some moments as well - those were crucial."
Despite taking the lead through skipper and three-times African Footballer of the Year Eto'o's coolly taken goal after only 10 minutes, Cameroon failed to capitalise on any more of the 23 goal attempts they also created.
Some solid saves by Danish goalkeeper Thomas Sorensen, some bad luck, and some excellent Danish defending after a woeful early error, all contrived to send Cameroon to an unlikely defeat.
Their distraught players slumped to the ground in disbelief when Uruguayan referee Jorge Larrionda brought an excellent match which had seen 36 attempts on goal - 23 from Cameroon - to an end.
Denmark will now have a showdown with Japan on June 24 in Rustenburg to determine which team advances with the Netherlands to the next round.
Gronkjaer said his side never lost belief in themselves, even after going 1-0 down, and looked forward to the battle against the Asian side.
"At 1-0 down we still believed, and we knew we had nothing to lose at that point," he added. "We knew we needed something from the game and we got it.
"Now we have it all in our hands in the last game against Japan."
While pundits predicted the Blue Samurai would be the whipping boys of Group E, their victory over Cameroon and stubborn showing against the Dutch suggests Denmark will not have an easy ride.
"This is the World Cup, there are no easy teams," he said.
