However, later in August, police found the headless torso of the journalist's body, which washed ashore in Copenhagen. Since then, further investigation has found that Wall's corpse was mutilated with stab wounds to the ribcage and genitals.
Madsen has been in court this week charged with her murder where it was revealed he had video footage on his computer showing women being violently killed.
He later said he buried Wall at sea after she accidentally died from hitting her head on a heavy hatch cover.
The pathologist has now also identified Kim Wall with the help of her teeth.
Investigators believe Madsen killed Wall between August 10 and 11, cut up her body and attached a belt with a pipe to the torso so it would sink.
Madsen has insisted there was no sexual relationship between him and Wall, and that their contacts had been professional.
Mr Moller Jensen said the bags, found on Friday, had been weighed down with pieces of metal. Another bag contained her missing clothes.
"I've been informed of the find, but I haven't received any material yet".
A police spokesman told reporters in Copenhagen that there were no fractures in Wall's cranium. Yet, there is plenty of evidence to overwhelm the man of 46 years old.
Wall worked as a freelance journalist based in New York and China, and her articles were published in the Guardian, the New York Times, and others.
Madsen has successfully launched rockets with the aim of developing private space travel.
Madsen created the UC3 Nautilus with private funding and launched it in May 2008.