Heat transfer can occur by radiation, convection (natural or forced), conduction, or through a phase change. For the case of an Al can whose temperature is changing by a few degrees, it may be the case that conduction dominates (and conduction also plays a part in convection).
The most important material property in conduction is the thermal conductivity, which characterizes the rate of heat transfer for a given temperature difference. The thermal conductivity of a material depends more on its bonding type than its density; conductive heat transfer is much more efficient in strongly bonded solids (in which the lattice vibrations that carry thermal energy can propagate quickly) than in liquids and much more efficient in liquids than in gases (in which molecular interactions are relatively infrequent). But it is true, as you noticed, that denser types of matter generally conduct heat better.
Air's thermal conductivity is about 0.02 W/m-K; water's is about 0.6 W/m-K.