The density of anything is the quantity itself per unit length/area/volume.
If the [itex]|\psi|^2[/itex] is defined for a 3 dimensional system, then the probability density will be the probability divided by volume. And for 2 dimensional and 1 dimensional systems, we have area and length respectively.
The best way to see this is that for 1 dimensional systems, for example, the probability of a particle being between points A and B is given by
[tex]\int^B_A |\psi(x)|^2\ dx.[/tex]
Here, we have multiplied the prob. density by a length, namely [itex]dx,[/itex] to get a probability. Therefore the density itself is a probability divided by a length. The extension to higher dimensions is easy.