I can't seem to find the official statement on the Official Danish Royal Family website, but I remember at the time of the wedding there was a statement release acknowledging that the tiara was a loan to Princess Marie.
I found this quote on the Danish Royal Watchers blog (until it died):
"The tiara which Marie wore today still belongs to Queen Margrethe, according to the official website ('The tiara belongs to Her Majesty The Queen.'). Unlike Alexandra's (Alexandrine tiara) and Crown Princess Mary's wedding tiara (a personal gift from the Queen and Prince Henrik), the tiara is at Marie's disposal as long as she is married to Prince Joachim. The tiara which was presented to Marie by Queen Margrethe, was originally a gift from her father Frederik IX. The tiara originally belonged to Princess Dagmar, daughter of Frederik VIII and Queen Louisa"
on November 23, 2012, 4:19 pm, in reply to "