This quote comes from the book Number the Stars by Lois Lowry. In this section, Annemarie reflects on the stories that her father used to tell her. One of this stories relates to the King of Denmark, Cristian X.
Annmarie explains that one day, when the king was riding his horse down the roads of Copenhague, a German soldier was surprised. At that time, Denmark was occupied by the German Nazis. When the soldier was told that this man was the king, the soldier asked why he did not have any protection. The man then replied that "all of Denmark is his bodyguard." This means that the king had nothing to fear, as all people loved him and all would be willing to protect him from danger.
