The two members, Morten Messerschmidt and Peter Lundgren, say that such a grouping could come about if Britain votes to leave the EU on Thursday.
Danish deputy Messerschmidt said: "The idea of a Nordic bloc is being spoken about. Many Danes would find it appealing if the UK, after leaving the EU, created an alternative free market-oriented organisation. It could include the Netherlands and Switzerland too.
"Denmark is in the EU for trade but there is no ideological loyalty. A Nordic bloc would attract Danes because it takes us back to the original EEC idea."
Messerschmidt, a member of the ECR group, added, "The Maastricht treaty turned a commerce-oriented operation into an ideological operation with ever-closer union. It became an entity by itself. It's a shame it needs a political earthquake to shake Brussels but it's not Britain that's wrong, it's Brussels."
Those comments were echoed by Swedish MEP Lundgren, who said Denmark and Sweden were already "on the brink" of quitting the EU.
Lundgren, who is in the Eurosceptic EFDD group, said that should the UK leave, a "Nordic trading bloc" led by Britain could be born.
Lundgren said Brussels was beginning to realise it had misjudged Britain.
"They laughed when Uki and Conservative Eurosceptics began to demand a referendum for Britain," he said. "They've stopped laughing now."
"They never believed it would happen and then they didn't believe there would be a chance for Brexit to win. In their rarefied world, belonging to the EU is the only option."
"It's an idea that has been gaining traction and one I'd like to see," he said. "We're similar in our culture, in our outlooks and in our economies. It's a better fit than the EU."
Both MEPs were speaking to the Daily Express, a British tabloid that has traditionally supported the UK leaving the EU.
Meanwhile, Sylvie Goulard, a French centrist MEP, said she has observed two phenomena in the Brexit campaign.
"First, I've noticed that the UK government and UK Prime Minister David Cameron seem to have discovered Europe in the positive sense and so they are becoming more convincing.
"Cameron seems more convinced about Europe than he was, even if I don't agree 100 per cent with his vision. At least there are people trying to sell Europe in the UK, which isn't something easy," said the ALDE group member.
"Second, I've noticed that the debate is often based on exaggeration. You can dislike the EU but it's not comparable to Hitler invading the UK. We should respect the people who died in WW2.
"The same is true of Michael Gove saying millions of Muslims would come to the UK tomorrow if Turkey joined the EU. I admire the way British democracy functions and there are many elements to be proud of, but sometimes exaggeration seems to be the normal way of arguing - and where Europe is concerned, even more so."
Goulard recently published a book, Goodbye Europe, on the lessons to be learned from Cameron's recent "new deal" in Brussels. She is in favour of Britain staying in the EU.