No, that's not what they say. What they say (Wald, for example) is that spacetime curvatures which are finite but larger than the Planck scale are problematic for a classical theory of gravity like GR, because we expect quantum gravity effects to become important at that scale. In the Einstein-de Sitter model, for example, the curvature becomes infinite at the point you have been labeling ##\rho = \infty##, not just the density. And in Schwarzschild spacetime, the curvature is the only thing that becomes infinite at the singularity at ##r = 0##, because it's a vacuum solution and the stress-energy tensor is zero everywhere. But that singularity is just as problematic on a viewpoint like Wald's.