Hello!
Density is defined as mass/volume
So if we have
Densitywater=1kg/1Liter=1kg/Liter
DensityMercury=13.6kg/1Liter=13.6kg/Liter
Therefore mercury is more dense than water, as more mass of Mercury can occupy the same amount of space or volume of Water.
Hope this helps. Any questions please feel free to ask. Thank you.