The Australian-born royal was not seen at the service on Monday while her husband Crown Prince Frederik and Queen Margrethe travelled to London for the Westminster Abbey ceremony.
People took to Twitter to question where she was, after it was confirmed by the Danish royal family last week she would make an appearance.
"No Princess Mary of Denmark?" one questioned.
"Prince Frederik of Denmark was with his mother [Queen Margrethe] sitting opposite King Charles III. Shame our Princess Mary couldn't attend (she's Australian)," commented another.
"Oh, no Princess Mary of Denmark next to Prince Frederik," a third wrote.
"I'm still confused why Crown Princess Mary couldn't have gone, when the Jordanian Royal Family got three tickets, right?" a perplexed royal fan stated.
Others suggested the Princess had been uninvited, however the royal family did not confirm this.
The Danish royal family confirmed Princess Mary would be in attendance in a statement published on their website on September 13.
"HM The Queen and the Crown Prince Couple [will be] present at the State Funeral of Queen Elizabeth II on 19 September 2022 at Westminster Abbey in London, Great Britain," the statement last week said.
However the Princess did not appear join her husband and mother-in-law, with another statement on September 19 stating just Prince Frederik and the Queen were at the funeral, with no mention of Princess Mary.
Queen Margrethe attended the funeral after cancelling her jubilee to celebrate her 50th anniversary of her succession.
Express.co.uk reports she made the decision out of respect for Queen Elizabeth II.
The hosts of Podcast Royal said the Danish Queen's choice showed the high level of respect she had for the UK monarch.
Queen Margrethe opened up in an interview with ITV earlier this year about her fondness for Queen Elizabeth II, revealing Queen Elizabeth's nickname was Lilibet while Queen Margrethe's was Daisy.
"That is what we call each other when we see and speak to one another. We are definitely affectionate, but I don't want to splash it all over the place!" she said.
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