Madsen, 46, is expected to face the more serious charge when he appears in court again in early September.
The search for Ms. Wall began when her boyfriend reported her missing on August 11.
Madsen originally said he dropped her off near the Halvandet restaurant on Refshale Island in Copenhagen harbor on the evening of August 10.
He stuck to that story when the wreck of the Nautilus was found on August 13.
But when the 30-year-old's headless torso was found on the shore by a cyclist on August 21, Madsen claimed she died in an accident on board the sub on August 11, and he had decided to bury her at sea.
The police have told Danish media they believe Ms. Wall's body had been deliberately decapitated and dismembered with tools.
Copenhagen police chief Jens Moeller Jensen said a piece of metal had been attached to her body "likely with the purpose to make it sink."
Danish police now believe Madsen deliberately sank the 40-tonne submarine, which he designed and built, after the search for her began.
DNA from the torso, which had been weighted down with a piece of metal, matched a sample from Ms. Wall's hairbrush and toothbrush.
He denies killing Ms. Wall, but remains in custody pending his trial.
Madsen claimed the Nautilus, the largest privately-owned submarine in the world, started taking on water after going out on a trial journey. Madsen did not have a license to carry passengers on the craft.
Peter Madsen's lawyer, Betina Hald Engmark, said her client has not admitted any wrongdoing.
"My client has not confessed to anything, my client still pleads not guilty to the charges against him," she said.
The Danish and Swedish divers had been search Koge Bay, near Copenhagen, and the Oresund Strait between the two countries for eight days in a bid to find Ms. Wall's body.
Several women reporters have tweeted about the dangers faced by female journalists, especially freelancers such as Ms. Wall, who was working on an article about the submarine and its eccentric inventor for a magazine.
Ms. Wall alternated her life between New York and Beijing, but had worked all over the world for a variety of magazines and newspapers.