Biodiversity conservation efforts in Europe have traditionally focused on farmland and open nature areas such as grasslands, heathlands and meadows, while little attention has been devoted to conservation actions in forest. Using detailed information on the geographical distribution of about 900 terrestrial species in Denmark we apply systematic conservation planning techniques to identify how to protect biodiversity at the lowest cost to society. The results suggest that conservation actions in forest should be given a higher priority. Thus, three to four times the number of forest species are protected per million € compared with species living in open land natural areas. Furthermore, a gap analysis finds the current designation of Natura 2000 and other protected areas is skewed toward open land natural areas, and insufficient to meet the conservation targets on forest species.