According to media reports, Li spent about two years digging two small rooms 4 meters beneath a basement before abducting the women, who all worked at nightclubs and karaoke bars.
Police say the women may be suffering from Stockholm Syndrome - when hostages start to sympathize with their captors.
Li lives with his wife, 24, and their 1-year-old child.
"We can't imagine this," said Kou Yongxue, a resident who lives in the building above the dungeon. "This is too cruel to believe. Neighbors are still shuddering at this."
The case has led to waves of discussion online, while the reporter who broke the story has even accused local authorities of trying to cover up the grizzly discovery because the prime suspect works in the local quality supervision authority.
Ji Xuguang of Southern Metropolis Daily said on Thursday he was "threatened" and interrogated by officials about his source.
"They asked me who tipped me off and said I was revealing a 'State secret'," the journalist wrote on his micro blog, along with a picture of two men he claims were city officials.
Authorities denied claims of an attempted coverup.
In a phone interview with China Daily on Thursday night, Ji said he was trying to protect himself by posting the message, adding that he has left the province due to safety concerns.
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