Low-rankness is important in the hyperspectral image (HSI) denoising tasks. The tensor nuclear norm (TNN), defined based on the tensor singular value decomposition, is a state-of-the-art method to describe the low-rankness of HSI. However, TNN ignores some of the physical meanings of HSI in tackling the denoising tasks, leading to suboptimal denoising performance. In this paper, we propose the multi-modal and frequency-weighted tensor nuclear norm (MFWTNN) and the non-convex MFWTNN for HSI denoising tasks. Firstly, we investigate the physical meaning of frequency components and reconsider their weights to improve the low-rank representation ability of TNN. Meanwhile, we also consider the correlation among two spatial dimensions and the spectral dimension of HSI and combine the above improvements to TNN to propose MFWTNN. Secondly, we use non-convex functions to approximate the rank function of the frequency tensor and propose the NonMFWTNN to relax the MFWTNN better. Besides, we adaptively choose bigger weights for slices mainly containing noise information and smaller weights for slices containing profile information. Finally, we develop the efficient alternating direction method of multiplier (ADMM) based algorithm to solve the proposed models, and the effectiveness of our models are substantiated in simulated and real HSI datasets.