Density depletions were detected by Wind, Cluster, and Polar spacecrafts in the observations of diffusion region encounters at the Earth's magnetotail and magnetopause. In this report we investigate the layers of density depletion in magnetic reconnection using a 2.5-dimensional Hall MHD code developed from a multistep implicit scheme. The numerical results at the quasi-steady state of the Hall MHD reconnection with di/Lc ≥ 1.0, where di is the ion inertial length and Lc is the half thickness of the initial current sheet, show not only the density depletions along the magnetic separatrices but also a density dip in the x direction near the X neutral line. The comparative tests with various Hall terms demonstrate that the density depletion in the magnetic reconnection is a peculiar feature of the case with a strong Hall effect (di/Lc ≥ 1.0). The layers of low density following the shape of separatrices are in coincidence with the regions of high magnetic pressure. In the spatial profile of density ρ along z, which is in quantitative agreement with Cluster observation, the obvious dips located at the separatrices coincide with the peak and valley in the profile of $frac{K_{H}}{rho}$(J ¿ B)z for the case with di/Lc = 2.0. It indicates the major role of the Hall term in the formation of the density depletion layers near the separatrices. On the basis of the comparison between Wind observation and simulation results, we argue that the density dip observed by Wind would be distributed around the reconnection X-line, rather than along the magnetic separatrix. In the case with a strong Hall effect, the in-plane ion flows go around the diffusion region, and enterable ions in this region are significantly reduced due to the action of the in-plane Lorentz force. A density dip in the vicinity of the X-line is attributed to the hard entry of in-plane ion flow and might be related to an increase of the ion drift velocity in the y direction.