Peter Madsen, 46, also admitted to dumping her body parts in the sea, police said in statement on Monday.
But he has said Ms Wall, 30, died from carbon monoxide poisoning inside the submarine while he was on the deck of the vessel and has denied killing her.
On August 23, the journalist's headless torso washed up in Copenhagen, weighed down with metal.
Madsen was previously charged with negligent manslaughter, in a closed case, and pleaded not guilty.
Ms Wall planned to interview Madsen on board his 18-metre long, 40-tonne submarine for a magazine feature on August 10.
But after UC3 Nautilus failed to return, her boyfriend alerted the authorities in the early hours of the following day.
Madsen was arrested after being rescued at sea when his submarine sank and initially told authorities he had dropped her off after nightfall the day of the interview.
He changed his testimony the next day, saying she died in an accident on board and he had buried her at sea.
Madsen has previously said she died from a head injury after banging her head on the submarine's hatch.
MORE ABOUT