The 40-ton, 18-meter long Nautilus, one of three subs built by Madsen, is now sitting under 7m (24ft) of water with divers unable to enter it safely.
Peter Madsen faces manslaughter charges over the disappearance of the female journalist.
Miss Wall is a freelance journalist who graduated with a masters from Columbia University before going on to write about identity, gender, pop-culture, social justice and foreign policy.
A salvage vessel was working Saturday to raise the submarine.
Nautilus, named after the ship from the classic science fiction novel Twenty Thousand Leagues Under the Sea, was built by Mr Madsen after raising $200,000 (£154,000) online.
According to a timeline compiled by police, on Thursday at about 7 p.m. local time (1700 UTC), the sub departed Refshale Island, a former industrial shipyard transformed into a creative hub, for what was supposed to be a short trip.
Wall's boyfriend alerted authorities early Friday that the sub had not returned to Copenhagen as expected, prompting a major search involving two helicopters, three ships and several private boats.
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Davis was able to get in his vehicle and drive away, but not before the alleged creature jumped on the roof of his auto . He threw the thing off, but said that it was able to keep up with the auto at speeds up to 40 miles per hour .
The authorities have not yet been able to access the vessel, known as the Nautilus, which lies on the seabed in Koge Bay, south of Copenhagen.
Kristian Isbak, who had responded to the Navy's call to help locate the ship on Friday, told The Associated Press he first spotted Madsen standing wearing his trademark military fatigues in the submarine's tower while it was still afloat.
The police in Sweden said they had tried without success to contact the woman by phone.
Footage aired on Denmark's TV 2 channel showed him getting off what appeared to be a private boat and making a thumbs-up sign as he walked away.
"He told us that the journalist who also had been on board had been dropped off Thursday evening", navy spokesman Anders Damgaard said.
Copenhagen Deputy Police Inspector Jens Moller Jensen said investigators were looking for witnesses who may have seen the woman after the time Madsen reported she disembarked.
"It took about 30 seconds for Nautilus to sink, and I couldn't close any hatches or anything", he said.