You cannot have your cake and eat it.
More Danish Proverbs:
A lass that has many wooers often fares the worst.Danish
The foot of the farmer manures the field.
Danish
He who sows money, will reap poverty.
Danish
The dog will not get free by biting his chain.
Danish
They brag most of their ancestors who are unworthy of them.
Danish
When the word is in the mouth you must caress the sheath.
Danish