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7 year oldThe court case is being heard behind closed doors but Peter Madsen's explanation of what happened was released after a request from the defence and prosecution.
Ms Wall was last seen on Mr Madsen's submarine on the night of 10 August.
The search for her body continues.
In a statement, Copenhagen police also said that maritime authorities had determined the route the submarine travelled in Koge Bay and the Oresund strait before sinking.
Mr Madsen, 46, claims that he left her body somewhere in Koge Bay, south of Copenhagen, the police said. A search effort involving divers, helicopters and ships has been under way along the identified route since Friday.
The Danish inventor has been charged with negligent manslaughter. The police say they cannot release any more information at this time.
Peter Madsen's lawyer, Betina Hald Engmark, said her client had not admitted any wrongdoing. She said he had given evidence to the police during preliminary questioning and "information from this" had now emerged.
"My client has not confessed to anything, my client still pleads not guilty to the charges against him," she said.
Ms Wall, a 30-year-old journalist who wrote for several international publications, was first reported missing by her boyfriend after she failed to return from what should have been a short trip on the UC3 Nautilus submarine.
She had been researching a feature about Mr Madsen and his 40-tonne submarine, which at one stage was the largest privately-made vessel of its kind.
Police believe the submarine was deliberately sunk by Mr Madsen, who was rescued before being arrested.
Mr Madsen initially said he dropped Ms Wall off after dark on 10 August, close to where they had met earlier. But police later said he had given them a new account of events, which was not made public at the time.
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