Here's why:
* Density is a measure of how much mass is contained in a given volume.
* If the mass of a fixed volume of air increases, the density of the air also increases.
Think of it this way: If you have a balloon filled with air, and you add more air to it, the balloon becomes heavier (more mass). Even though the volume of the balloon might expand slightly, the overall density has increased because there is more mass in the same volume.
Therefore, if the mass of a fixed volume of air increases, it becomes denser, not less.