Early studies reported a 4- to 6-fold risk of breast cancer between women with extremely dense and fatty breasts. As most early studies were case-control studies, we took advantage of a population-based screening program to study density and breast cancer incidence in a cohort design. In the Capital Region, Denmark, women aged 50 to 69 are invited to screening biennially. Women screened November 2012 to December 2017 were included, and classified by BI-RADS density code, version 4, at first screen after recruitment. Women were followed up for incident breast cancer, including ductal carcinoma in situ (DCIS), to 2020 in nationwide pathology data. Rate ratios (RRs) and 95% confidence intervals (CI) were compared across density groups using Poisson-regression. We included 189 609 women; 1 067 282 person-years; and 4110 incident breast cancers/DCIS. Thirty-three percent of women had BI-RADS density code 1; 38% code 2; 24% code 3; 4.7% code 4; and missing 0.3%. Using women with BI-RADS density code 1 as baseline; women with code 2 had RR 1.69 (95% CI 1.56-1.84); women with code 3, RR 2.06 (95% CI 1.89-2.25); and women with code 4, RR 2.37 (95% CI 1.05-2.74). Results differed between observations accumulated during screening and above screening age. Our results indicated less difference in breast cancer risk across level of breast density than normally stated. Translated into absolute risk of breast cancer after age 50, we found a 6.2% risk for the one-third of women with lowest density, and 14.7% for the 5% of women with highest density.