There's plenty of non-dense places for people to live in, yet for some reason more and more people move to cities. Maybe it's because of the density and its benefits, not despite it?
It's because cities are where the jobs are, not necessarily because people want to live in cities. But cities have more jobs precisely because of that density.
Lots of people do explicitly want to live in dense cities. And it's very freeing not having to own, maintain, and pay for a car. That's a huge benefit of living in a dense enough city that has had viable mass transit.