Investigations will now confirm whether the saw is connected to the death of Swedish journalist Kim Wall, reports the Ritzau news agency.
In a Twittermeldung of police it is said: "The divers have found a saw in connection with so-called submarine case in Köge Bay".
Kim Wall's headless torso with 15 stab wounds was found on August 21.
The inventor depicted Wall's death as an accident - she had dropped a heavy hatch on board submarine.
However, it did show multiple mutilation wounds to Wall's genitals.
The prosecutor accuses Madsen of murdering journalist Wall aboard his self-built submarine and n throwing it overboard.
Investigators believe Madsen killed Wall between August 10 and 11, cut up her body and attached a belt with a pipe to the torso so it would sink.
But his account has been dismissed by forensic experts who say that the autopsy revealed "no sign of fracture on the skull and there isn't any sign of other blunt violence to the skull".
Investigators later found videos on Madsen's computer showing women being tortured and decapitated.
Locating Wall's head has been crucial to investigators, as the final autopsy on the torso was unable to establish the cause of death.
Peter Madsen, who had always been assured of wanting to cooperate with police, broke this "cooperation" after founding of head and refused furr statements since n.
Norwegian authorities announced they would ask Danish officials for a DNA sample from Madsen and Swedish police said they were planning to reopen cold case killings once the country's DNA database links with Denmark next month.
Wall, who was a freelancer in NY and China, reported on topics as diverse as Cuba's internet pirates and Ugandan capital Kampala's Chinatown, and did not know Madsen before she boarded his ship for a story.
"Of course we were anxious many times", her mother Ingrid Wall said, noting that Kim had "travelled alone by train in the south of China, went on a motorbike in Burma, and showed fascinated girls in North Korea what to do with nail polish".