We usually talk about a population's density 1, not a city's density.
To use the comparative form, I'd say that A has a higher (population) density than B.
Japan, with the highest population density, is worst afflicted
In areas with high population densities (c. 100 people km-2) intensive dryland agriculture is becoming increasingly important
The opposite of high (population) is "low"
from the 1981 census data, and it shows the low population density and
the extent of areas that are effectively uninhabited...
You can talk about a city having a dense population, in which case the comparative form is denser, and its superlative form, densest.
Whereas the comparative form, more dense,2 is used when comparing the density of two different substances, materials or liquids.
Water that is salty is more dense than water that is fresh.
Note: All the quoted texts come from the website J.T.W (Just The Word) which makes use of the British National Corpus.