A study published by Journal of the American Medical Association (JAMA) in 2005 showed that overweight people had a
death rate similar to normal weight people as defined by BMI, while underweight and obese people had a higher death rate.
Yes, as you know BMI depends on mass, height, age and gender.
But there are also many parameters upon which BMI depends: e.g. Bone Density, the Amount of Muscles & Fat.
It's clear that the more density your bones, the higher mass your body gets.
So overweight people might have just denser bones.
Muscle vs Fat:
BMI is particularly inaccurate for people who are
very fit or
athletic, as their high muscle mass can classify them in the
overweight category by BMI (muscle is much denser than fat), even though their body fat percentages frequently fall in the
10–15% category, which is below that of a more sedentary person of average build who has a
normal BMI number.
So, if you're an athletic (or have a high ratio of muscle to fat) don't worry. You are healthier than what your BMI states.
(There are some useful information on Wiki)