That is kind of true, compared to batteries. However, the real reason is not density, but rather cost of acquisition. Oil comes out of the ground "for free" (energy-wise), while alternatives like hydrogen need to be obtained at the actual cost of the energy they contain.

If energy density was that important, people might as well use bio fuels and similar stuff. Of course, those things exist, but guess why they only make up a small fraction of the overall consumption: They come with some actual cost to produce.

The cost of oil-based fuels for consumers is mostly profit of several companies in the supply chain, plus taxes. And surprise, those companies (and some governments) have a huge interest not to lose out on the stream of easy money.