Metals generally has high density and it is due to the packing of their crystal structures. Most metals are closely packed due to very strong force of attraction thus making it very dense.
Very high density metals have some advantages and uses. It can be used as counterweights (eg. tungsten density of 19.25 g·cm^3) because it it cannot be lost on production.
High density metals are being used as armor piercing because they retain their shapes at relatively high pressure thus performing better in penetration.
It can also be used as radiation shields (eg. tungsten, lead) which sets as protection form harmful rays. It is used in medical and industrial applications. Their high density and compactness make gamma rays and other radiation is prevented to penetrate.