Actually, that isn't shown by your link. Your link's Table 1 shows Wealth Shares by percentiles in 10% intervals. This shows a gap of 39% for the US and 53% for Denmark, between the lowest 90% and the top 10% by wealth. Comparing the top 10% to the bottom 10% shows an 82% difference for Denmark and a 70% delta for the US.
The OP wrote, "the wealth gap in the US seems so much bigger than any other country," which is not supported by your link.
https://data.oecd.org/inequality/income-inequality.htm