However, it did show multiple mutilation wounds to Wall's genitals.
Last week, a prosecutor reported that there was video footage of women being decapitated were discovered on Madsen's hard drive.
Kim Wall, 30 years old, had been reported missing on 10 August, while she was doing a story on the submersible private UC3 Nautilus in the company of Peter Madsen.
The gruesome discovery, contained in plastic bags, was made on Friday near the place where Wall's naked, headless torso was located earlier in August, Copenhagen police spokesman Jens Moeller Jensen told journalists on Saturday.
Currently, Madsen maintains that Wall died accidentally when a 70kg submarine hatch fell on her, before he disposed of her body in the sea.
The head, legs and clothes of Swedish freelance journalist Kim Wall have been found, according to Copenhagen police.
Madsen remains in custody while the investigation continues.
The Kim Wall Memorial Fund has been established by her family and friends to honour her spirit and legacy.
Her torso had also been weighed down when it was found, also in Koge Bay.
"We found a bag with Kim Wall's clothing; shirt, skirt, socks and shoes, and also a knife and lead pieces weighing them down", Moeller Jensen said. Officials said her head, arms and legs had been deliberately cut off after her death.
"I've been informed of the find, but I haven't received any material yet".
Madsen, who was arrested after his rescue, initially told police Wall disembarked the vessel at Refshaleøen island near Copenhagen. Yet, there is plenty of evidence to overwhelm the man of 46 years old.
Wall, 30, died after going out on Madsen's homemade submarine on August 10 for a story.
But the group became engaged in a long-running dispute over the Nautilus, before members of the board chose to transfer the vessel's ownership to Madsen, according to the sub's website.