As such, it's completely normal that you can't just take sand or stones from many beaches. The very famous Étretat town in France with its accompanying beach and rocks, have a very strict "don't take souvenirs from the beach because you'd be actively destroying it" policy.
Canadian National Parks[2] and most Provincial/Territorial Parks.
[0]: https://www.nps.gov/articles/recreational-collection-of-rock...
[1]: https://www.ecfr.gov/current/title-50/chapter-I/subchapter-C...
[2]: https://parks.canada.ca/voyage-travel/regles-rules#objects
I do also suspect that there must be some product that must be more cost effective than coins but denser than sand, but cannot think of it right away. I mean, scrap steel is a couple of cents per kg.
The scrap steel probably didn't cost cents per kg when it was sold for its original purpose. You are paying for a useful shape.
A professional equivalent of weighted vests are ballistic plate carriers. Real ballistic plates can be fragile and expensive, so options for exercising in (or milsim games in airsoft etc.) include expired (and failed to re-certify) real ballistic plates, made for purpose training plates... or plate shaped sandbags!
The cents are free though, cause they're legal tender — just deposit them instead of having to sell 2nd hand
eg; weighing down the corners of a beach tent, pegs won't grip in the sand so instead tie plastic bags onto the guy ropes and fill them with sand and water.