The particles in solids are closer to each other than in liquids and gasses.
Density = mass / Volume
Higher density means, there is more mass ( that means, more particles ) in less volume.
This is also the reason for their low compressibility, because the particles are like repelling magnets - the closer together you get them, the stronger they repel. The closer the particles of a solid get, the stronger pressure you need to force them even closer.
This is the reason why:
Solids are less compressible than liquids, liquids are less compressible than gasses.
Solids are more dense than liquids, liquids are more dense than gasses.