I'd say there is a sense in which describing space as "more dense" in the region of a mass is reasonable, although one also has to include the fact that time varies in a similar way.
Space-time itself is shaped by gravity, but as the clocks and rulers of local observers follow time and space, the shape on a large scale can only be described by making a map of it relative to a chosen coordinate system, which means that the apparent shape is to some extent determined by the choice of coordinate system.
For describing the space where the primary gravitational effect is that of a static single central mass, a common practical convention (used for example for General Relativity calculations for the motion of space probes within the solar system) is to use what are called isotropic coordinates, where the scale factor between a local ruler and coordinate space is the same in all directions. In this case, provided that we are not talking about being close to a neutron star or black hole, we can assume to high accuracy that gravity effectively causes clocks at a distance ##r## from mass ##m## to run at a rate which is a tiny fraction ##Gm/rc^2## slower than far away from the mass, and similarly it causes rulers at the same location to shrink by the same fraction. This means that if we scale our coordinate system so that it measures time and space in a way which matches local measurements far away from the mass, then one could say that relative to the coordinate system rulers get a little smaller close to the mass, and hence that in a sense physical space is fractionally more dense there.
If this is combined with the effect of clocks running slower by the same fraction, this has an effect on light as if space had a "refractive index" relative to the coordinate system of approximately ##1+2Gm/rc^2##, which causes twice the deflection that either the time or space effect alone would cause.
This approximate view relative to isotropic coordinates also holds to good accuracy for multiple static sources within the same region provided that the fields are not too strong (e.g. see Carroll "Spacetime and Geometry" equation 7.59) , in that each source effectively causes time to slow and rulers to shrink in its vicinity, so the local time rate and ruler size are both decreased by the total Newtonian potential at the relevant location.