Wall went missing after having boarded a privately built submarine on August 10 as she was working on a story about the owner and inventor of the vessel, Peter Madsen, Xinhua news agency reported.
The 18-metre vessel, UC3 Nautilus, sank on the same night in waters near Koge Bay of Denmark.
The police on Monday said Madsen on August 12 admitted to burying "Wall at sea" after she died aboard due to an "accident".
Madsen was accused of causing Wall's death on suspicion of manslaughter.
The body was found washed up on shore near Copenhagen on Monday, with its arms, legs and head missing, according to the police.