Around the time that Nielsen was starting work on his Symphony No. 4, he was asked to write a short piece for several musicians from Det Kongelige Kapel, the orchestra of the Royal Theatre in Copenhagen (where he acted as a conductor). They were about to go on a tour playing Beethoven's Septet, and Nielsen used that work's scoring as a starting point in creating the Serenata in vano (Serenade in vain), completed in just a couple of days in May, 1914, and given its first performance on April 13, 1915.

This programmatic composition depicts a group of musicians sent to serenade someone's lover. Over a rustic accompaniment from the lower instruments, the clarinet and bassoon sing what Nielsen described as "a somewhat chivalrous and showy" melody in the hopes of enticing the woman out onto the balcony. The song becomes increasingly energetic, but still she does not appear. The musicians move on to a sweeter, more mellow song, but this doesn't work either. So, after a brief pause, the musicians decide that their performance has been "in vain" and head home, playing a distinctly tongue-in-cheek march to amuse themselves on their travels through the countryside.

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