I suppose the gist of the point of that comic is that you can take these visual explanations too seriously. I love the "ball-on-netting" analogy for General Relativity, as it captures quite a lot of the basic ideas very effectively. But it's also horribly deficient. Firstly it only captures two out of four dimensions; secondly it can only ever really model something like a simplified Schwartzschild solution rather than, say, all of the really interesting ones; and thirdly it gives the illusion of space as actually being something, rather than what is closer to the truth of spacetime as "a set of coordinates for measuring where you are".
This last is the key problem with the question, really. Spacetime has no substance to it. So it can't be more, or less dense.* What can and does happen is that as you get closer to a model, the way in which you measure coordinates becomes more noticeably warped and distorted from a flat space. It's probably better then to view the sheet that you are placing your massive object on as a square netting, because then you can more easily see the effect you are interested in, which is geometry becoming distorted.
For this experiment you will need some oranges and the netting they came in. Carefully cut the netting and stretch it out reasonably tight over a bowl, taping it down to the sides. Now put an orange at the center of the netting. Look straight down from above the orange and see how the squares that make up the netting become more and more distorted from their shape. If your bowl is see-through you could try down the same from below. The distortion will be even more pronounced.
General Relativity is about how the geometry of space and time changes around a mass, which is turn tells you how to measure coordinates and determine where and when you are in the Universe. Making the sheet on which the ball rests looking more like square netting is, I think, the best link to the truth you can get.
*This is only true in classical General Relativity, and it's possible that future Quantum Gravity models might end up implying that Spacetime is a lattice of (presumably massless) stuff of some sort, like "foam", but at the moment this is nothing more than a cool idea and anyway it's something I don't understand in the slightest.