Britain's Rachel Joyce and Jodie Swallow were second and third in the Challenge Bahrain, the world's richest half-Iron distance triathlon.
Swallow led out of the water, but was caught by Joyce on the bike stage, with both outlasted by Helle Frederiksen.
The Dane's victory earned her the $100,000 (£64,176) prize.
In the men's race, Britain's Tim Don finished fourth behind German winner Michael Raelert, with Andreas Dreitz second and Tim Reed third.
Commonwealth champion Jodie Stimpson finished eighth and tweeted: "I'm so happy with the result, bring on 2015 challenge."
A half-Iron distance triathlon involves a 1.9km swim, 90km on a bike and a 21km run.