And the banner turned out to be true on Wednesday night as the Danish side pulled off a dramatic 4-3 win to leave Erik ten Hag's side bottom of their Champions League group.
United cruised into a two-goal lead thanks to a double from Copenhagen native Rasmus Hojlund.
But the Danes found a way back into the game following Marcus Rashford's contentious sending off, and went in level at the interval.
Bruno Fernandes' penalty looked to have spared United's blushes but two goals in four frantic minutes from Lukas Lerager and Roony Bardghji sealed a famous victory for Jacob Neestrup's side.
United arrived in the Danish capital buoyed by Saturday's last-gasp 1-0 win at Fulham and looking to build momentum in what has been a stuttering start to their Champions League campaign.
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It was their first visit to the Parken Stadion since a 1-0 defeat in 2006 and a raucous 36,000 crowd were only too happy to remind the Red Devils and their travelling support of their famous win 17 years ago.
As the players entered the pitch, a giant tifo was erected in the home end displaying the words: 'Your Theatre of Nightmares.'
It was accompanied by a portrait of Wayne Rooney's failed attempts to find the net in a game settled by Marcus Allback.
The Swedish striker who went on to play for Aston Villa, was the toast of Copenhagen that night and recalled memories his heroics against Sir Alex Ferguson's side.
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"To get a first goal and first points in the Champions League against United was massive," Allback said.
"I still get recognised in Denmark, largely because of that goal. It was a big moment for football in Denmark. It was my only chance in the game. The ball came across and I was going to volley it but missed it, then scored with the second attempt after Edwin van der Sar went down.
Post-match press conference: Erik ten Hag (Champions League: Copenhagen 4-3 Manchester United)
"I'd hardly had a touch and it was a crappy goal but nobody cared. You don't get remembered for how it was scored."