The Premier League striker, 21, has been seeing the 34-year-old for the past two months, The Sun reported.
The pair were recently seen enjoying a romantic stroll through London’s Hyde Park and playing football with the Baroness’s children Alexander, six, and Josephine, three.
The Baroness met Bendtner two years ago when they both appeared on a reality television show in Denmark, in which she was featured renovating her family home, Valdemars Castle.
Bendtner was a guest on the show and the pair did a photo shoot to promote his appearance.
She said of him at the time: "He is charming and bright and he's very willing to help other people.
"You never know when our paths will cross again."
The Baroness split from her husband Rory Fleming, a multi-millionaire banker who is a cousin of the James Bond creator Ian Fleming, two years ago. She received 400 million from the divorce settlement.

Я смотрю, у Нико губа не дура - тетя не только намного старше его (читай - опытнее), но и сказочна богата. Хотя, я все равно не одобряю. Посмотрела я ее фотосеты - ну кукла куклой, она же без косметики страшнее тучи будет. Да и вообще, после той передачи, в которой они вместе засветились, сложилось впечатление, что она малость не в себе.
Ну да, ревную я, ревную!