The Danish man sentenced to life in jail for the murder of journalist Kim Wall aboard his homemade submarine has been arrested after a failed prison escape bid led to a standoff with police.

Police confirmed on Twitter that Peter Madsen had been "arrested and removed from the scene" after being surrounded by police officers, with unconfirmed reports he had threatened them with an explosive device.

Danish tabloid BT reported Madsen had taken a hostage and threatened prison staff with a pistol-like object to force his way out of the facility.

It quoted witnesses who said he managed to drive away in a white van before police stopped him.

Another tabloid, Ekstra Bladet, reported that the hostage was a female prison psychologist. It said prison guards claimed the weapon looked real and believed the hostage's life to be in danger.

Photos from the scene showed Madsen sitting on the grass by a leafy wall next to a road a few hundred metres from the prison in a residential area, with police officers lying prone on the ground pointing their weapons at him.

Madsen, a 49-year-old submarine enthusiast, was convicted in April 2018 of murdering the 30-year-old award-wining journalist as she interviewed him on board his submarine in August 2017.

In a documentary that aired in September, he confessed for the first time to the killing, after having insisted during the trial that her death was an accident.

"There is only one who is guilty, and that is me," Madsen said in the documentary.

In a case that made headlines around the world, Madsen had however admitted to the court that he chopped up her corpse and threw her body parts into the sea. 

Madsen changed his version of events several times after his arrest and throughout his trial, but ultimately testified that Ms Wall died when the air pressure suddenly dropped and toxic fumes filled his vessel while he was up on deck.

In the documentary, Madsen said however he and Ms Wall had a discussion that "shook things up", and that's what caused him to kill her.

An autopsy report presented at length during the trial concluded that Wall probably died from suffocation or having her throat slit, but the decomposed state of her body meant examiners could not determine the exact cause of death.

Fourteen stab wounds and piercings were however found in and around her genital area.

Madsen had told the court he stabbed her because he wanted to prevent gases from building up inside her torso that would prevent it from sinking to the seabed.

Psychiatric experts who evaluated Madsen for the court found him to be "a pathological liar" who poses "a danger to others" and who was likely to be a repeat offender.