Mr Madsen, 46, pleaded not guilty to a new charge of abuse of a corpse as well as the original murder charge.
Ms Wall, 30, was last seen alive on 10 August as she departed with Mr Madsen on his self-built 40-tonne submarine.
On Wednesday, a headless torso found in waters off Denmark was identified as Ms Wall's via DNA tests.
Samples from the torso - which had been weighted down with metal - matched those on her hairbrush and toothbrush.
"The suspect denies homicide and desecration of a human body," Copenhagen police said in a statement.
Mr Madsen initially said he had dropped the journalist off safely near Copenhagen, but then changed his story to say she died in an accident and that he had "buried" her at sea.
Danish police believe Mr Madsen deliberately sank the submarine hours after the search for Ms Wall began.
Her partner had reported that she had not returned from the trip.
Prosecutors have until 5 September to request an extension of Mr Madsen's custody.
Danish inventor Peter Madsen, who is being held over the death of Swedish journalist Kim Wall, has denied murdering her and mutilating her body.