Officers had been hoping to find the remains of 30-year-old Kim Wall on board the wreckage of the UC3 Nautilus submarine which was wrecked in Copenhagen harbour on Friday.
Miss Wall was last seen on board the vessel with amateur builder Peter Madsen who is now being held on suspicion of negligent manslaughter.
Danish investigators say they have found evidence the Nautilus was sunk deliberately as they continue land and sea searches for any sign of Miss Wall.
The freelance reporter boarded the sub, which was built by Madsen, on Thursday night in order to write a story about it.
On Friday morning the Danish Navy were scrambled to help the stricken sub, before reporting it sunk at 10.45am.
Madsen claims he was the only one on board at the time, and that he dropped Miss Wall off at the mouth of the harbour shortly after 10pm the previous night.
But Danish police on Sunday said he has given them several conflicting accounts of what had happened, without elaborating further.