A Danish man serving a life term for murdering journalist Kim Wall aboard his homemade submarine is back behind bars after failing to get away following his escape from prison, which led to a stand-off with police.

Police said 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.

"Peter Madsen tried to escape," a Copenhagen police official told AFP. 

Local media have 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.

Photos from the scene showed Madsen sitting on the grass by a leafy wall next to a road a few hundreds meters from the prison, with two police officers lying 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 journalist Kim Wall as she interviewed him on board his submarine in August 2017.

In a documentary that aired in September, he confessed to the killing. He insisted during the trial that her death was an accident.

When asked  in the documentary if he had killed Wall, he replied, "yes." He added: "There is only one who is guilty and that is me."

In a case that made headlines around the world, Madsen denied the charge of murder but admitted to the court that he chopped up her corpse and threw her body parts into the sea.