I wonder what the data looks like when you account for the fact that our biggest, densest cities also have huge minority populations which vote democrat for reasons that have little to do with population density.
I'm pretty sure it maps out the same if you filtered for, say, non-Hispanic white voters. The curve might shift towards GOP overall, but the correlation would still be there, because the cities also tend to skew more educated and that correlates in a positive way with voting DNC.