Yeah, Greenland is not part of the EU because it chose to leave the EU's predecessor, the European Economic Community (EEC), in 1985. Although Greenland is an autonomous territory of Denmark and was initially part of the EEC as part of Denmark's membership, in a 1982 referendum, the majority voted to leave due to concerns over the impact of EEC policies on its fishing industry and its desire for greater self-determination. Greenland is now part of the Kingdom of Denmark but maintains a separate relationship with the EU.
Despite being far from mainland Europe, all other listed territories belong to EU member states and are EU territories.