The defending champions ended their preliminary stage outing as Group B runners-up after thrashing Equatorial Guinea 6-0 in Cape Coast.
And the Swede attributed his side's progression to their management of the opening defeat to Banyana Banyana and sticking to their tournament's plan.
"We started with a loss to South Africa and the question you get is why will Nigeria lose a game," Dennerby told media.
"But we said already from the beginning that we said we won't change anything and just take one match after the other and so on.
"Just that we stayed cool was the major reason why we got to where we are now. We followed the plan and not get stressed because we lost our first game.
"We are very happy to be in the semi-final. We've reached our first goal and the next goal is to secure a ticket to the World Cup next year in France."