Joachim and his second wife Marie have now come forward to say their relationship with Frederik and Mary is "complicated".
In an interview with B.T., they also revealed that Margrethe has "unfortunately not" spoken to them since the bombshell move.
"It's also family. Or whatever we want to call it," Joachim added.
Marie has also revealed that Athena has been bullied at school since she lost her title.
"They come and say [to Athena]: 'Is it you who is no longer a princess?'," she said.
The family are only said to have been told of the decision five days before it was made public.
Last week, Mary defended Margrethe's "difficult" decision to strip her grandchildren of their royal titles in an interview with Ekstra Bladet.
"Change can be extremely difficult and can really hurt," she said.
"I think most people have tried it. But this does not mean that the decision is not the right one.
" … And I can understand that it is a very difficult decision to have to make, and also a very difficult decision to receive."
As direct descendants of the future King, Frederick and Mary's four children – Prince Christian, 16, Princess Isabella, 15, and twins Princess Josephine and Prince Vincent, 11 – are unaffected by the decision.
However, Mary, 50, suggested that may not always be the case.
"We will also look at our children's titles when the time comes. Today we cannot see what the royal house will look like when it is Christian's time, or when Christian's time begins to approach."
