Denmark found themselves frustrated by an aggressive Albanian defence in Copenhagen and though the Danes dominated possession in the first half, with young Midtjylland winger Pione Sisto looking particularly bright, they failed to convert their dominance into clear-cut chances.
Denmark peppered the Albania goal in the second half but could not make the breakthrough.
Odise Roshi almost stole all three points for the visitors on the stroke of full time but Kasper Schmeichel got down to smother his shot.
The result leaves both teams on 11 points, one behind leaders Portugal, though Albania have a game in hand.
Denmark travel to Armenia on Monday while Albania, who have never been remotely close to qualifying previously and never won more than two qualifying matches in a campaign, host Portugal.
(Reporting by Philip O'Connor, editing by Mitch Phillips)
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