Actually, everyone has their own gravitational pull. Anything with mass has gravity, but for smaller objects the pull is too weak to be noticed.
Furthermore, an object's gravitational pull depends exclusively on its total mass; density has nothing to do with it. However, with a denser object you would be able to get closer to said object's centre of mass without hitting the edge of that object, and since the gravitational pull between any two objects is inversely proportional to the square of the distance between their centres of mass, the area immediately surrounding a dense object would have stronger gravity than the area around a less dense object of equivalent mass.
A more appropriate insult would be "...I swear to god if she were any more dense she'd have her own event horizon," since the formation of an event horizon, unlike gravitational pull, is dependant on the density of the object in question.
I used to think I was a child; now I think I am an adult -- not because I no longer do childish things, but because those I call adults are no more mature than I am.