Mr Moller Jensen said the bags, found on Friday, had been weighed down with pieces of metal.
"Yesterday morning we found a bag within which we found Kim Wall's clothes, underwear, stockings, and shoes. In the same bag laid a knife, and there were some car pipes to weigh the bag down," he said.
He said a post-mortem examination confirmed the head was Ms Wall's and that it showed "no sign of fracture... [or] any sign of other blunt violence to the skull".
This would seem to contradict Mr Madsen's statement that she had died after hitting her head on a hatch.
Ms Wall, 30, was last seen alive on the evening of 10 August as she departed with Mr Madsen on his self-built 40-tonne submarine, UC3 Nautilus, for a story she was writing about his venture.
Her boyfriend raised the alarm the next day when she did not return from the trip.
Initially, Mr Madsen said he had dropped her off safely in Copenhagen, but he later changed his story to say it had been a "terrible accident", that he had "buried her at sea" and planned afterwards to take his own life by sinking his submarine.
Ms Wall's torso was found on 21 August; a post-mortem examination revealed knife wounds to her genitals and ribcage, which were believed to have been caused "around or shortly after her death".
Danish Prosecutor Jakob Buch-Jepsen told a court earlier this month that footage of women being decapitated alive had been found on a hard drive believed to belong to Mr Madsen.
Mr Madsen, who denied the hard drive was his, was detained for a further four weeks while investigations into the case continue.