Wall, a 30-year-old freelance journalist who was researching a story on Peter Madsen, went missing after he took her out to sea in his 17-metre submarine on August 10.
The cause of her death has not been determined, although prosecutor Jakob Buch-Jepsen told a court on Monday that Wall was stabbed at least 15 times in the rib cage and genitals.
The alert of the disappearance of Kim Wall had been given by his companion.
The detention of Madsen, who has denied manslaughter charges, expires October 31 when a court will decide if he will continue to remain in custody ahead of a possible trial.
Her torso had also been weighed down when it was found, also in Koge Bay. Møller Jensen said they also found a weighted bag containing a knife and Wall's clothing, socks and shoes.
Madsen remains in police custody as the investigation continues.
Madsen's lawyer Betina Hald Engmark said that she had been informed of the development but that she had not received any material or documentation.
Wall, 30, was a freelance journalist from Sweden who attended Columbia Journalism School in NY, and reported on stories from Sri Lanka to North Korea.
Her legs were found in a plastic bag floating in the waters off Islands Brygge, a harbour in Copenhagen. She had been intending to interview him for a feature.
Madsen has successfully launched rockets with the aim of developing private space travel.
Missing Swedish journalist Kim Wall's dismembered torso was found late August in Copenhagen.
His homemade submarine Nautilus, launched in 2008, was the biggest private sub ever made when he built it with help from a group of volunteers.
Madsen created the UC3 Nautilus with private funding and launched it in May 2008.