Bahrain has 3x the population density of India while Monaco is 56x more dense than India. Yet, the problem doesn't seem to manifest in those countries.
And the square foot below me has 575x the density of Monaco and there are no problems here!
That's just the mean. It's much more in the cities (because that's where the jobs are), which leads to demand for more construction, which leads to more scarcity, etc.