According to Sky News, Madsen tried to leave Herstedvester prison in the Copenhagen suburb, but was caught by the police.
Media publishes a photo of Madsen sitting on the ground, surrounded by lying, armed law enforcement officers.
It is noted that Madsen was holding a "pistol-like" object and also claimed to have a bomb.
The court sentenced the owner of the Nautilus submarine, Danish inventor Peter Madsen, who is accused of the murder of the Swedish journalist Kim Wall, to life in prison in April 2018.
Madsen and Wall set off together on the inventor's submarine at sea near Copenhagen on August 10, 2017. Later, only the inventor himself was discovered on the submarine, which allegedly suffered a disaster. Some time later, parts of the journalist's body were found in the sea.