The general theory of relativity does a really, really good job of describing gravity as a result of mass changing the shape of spacetime, and predicting its effects as a result of that. The strength of gravity only depends on the total mass, not its density, so I'd say that gravity is not an emergent phenomenon from the density of matter and energy.

(Mass is almost certainly caused by the interaction between some quantum particles and the Higgs field. I'm not clear on how that deforms spacetime, though.)

Edit: I should refresh the page before posting.