The alleged attack had been planned in response to Quran burnings in Sweden.
Anti-Islam activists have burned several copies of the Koran in Sweden and Denmark.
The government rejected protests by some Danish opposition parties that said banning Quran burnings would infringe on free speech.
The decision to appoint a commission met with immediate scepticism from several political parties, including the government's support party, the anti-immigration Sweden Democrats.
Sweden's SAPO security service raised the terrorist alert from 3 to 4 on a scale from 1-5, reflecting a high threat.
The continuous repetition of insults against the Quran in Denmark and Sweden needs to end, and the authorities in both countries must confront these violations firmly and decisively.
Denmark is tightening border control due to security concerns after Quran burnings.
The move comes after Rabbi Menachem Margolin, chairman of the European Jewish Association (EJA), called on the Swedish government to take action against such vile acts.
The Danish government said it would seek to make legal changes that will ban Quran burnings.
Criticizing a religion or religious symbols is not punishable in Sweden; this falls under freedom of expression which is protected under the constitution.