if dense is used as figurative (of a person), then dense means that it's difficult to explain anything to that person because they can't make sense of complex ideas (because their head is too "dense" or "thick" to get anything through)
It does not mean stupid although it is often used to describe people who are also stupid. For example, a lawyer who argues what the word "is" means could be described as dense. Stupid is lacking in intelligence whereas dense infers that a person's head is too thick to teach anything to him/her.
People who exhaust you by asking for further clarification on anything from policies and procedures by asking questions they wouldn't ask had they understood your previous answer to one of their previous questions are dense - their skulls are too thick to get anything through to their heads so they don't understand even the simplest lowest common denominator definitions!
A dense person is the opposite of an airhead, although about as useful.
Helen: Sigh...no..Peter's so dense..
2. n. a) a really slow person (who should most likely be hit on the head with a frying pan)
b) my friend Dennis who likes to type with his head flat on the table shouting I AM GOD!!!
Me: Obviously I'm listening to the song while reading the book.
Oh man it's getting really dense in here.