Common reasons for dense bread are incorporating too much flour into your dough or it hasn't risen properly.

Though the dough may be sticky, resist the urge to add more flour than necessary. Keep kneading 'til the dough becomes smooth and elastic, sprinkling on only just enough flour. Put your whole weight into this. It is very difficult to overwork the dough if you are kneading by hand. Your arms will fall off first, before you overwork the dough.

Reasons why the dough hasn't risen properly: yeast has expired; the water was too hot killing the yeast; environment was too cold for yeast to ferment properly. You can't do anything about dead yeast but if it's a case of the environment or ingredients being too cold, just give it more time to rise. It should increase to almost twice its volume in the rising stages. Try to find an enclosed, draft-free spot like inside a microwave oven.

The second rise generally allows for the gluten to relax a bit and allows carbon dioxide gas that were pressed out when you punched after the first rise to reform. It also develops the flavor of the bread.

If you are using "heavier" grains like whole wheat, this will also give you a denser bread.

Here are some very good tips: Bread Baking 101

Good luck and hope this will lead to future days of excellent bread baking. So nice to have aromas of fresh bread in your kitchen!

There are a lot of reasons breads can come out "heavy". The most common is overworking the dough. Use as light a hand as possible when kneading and don't over mix. Another common problem is the weather. Bread is very sensitive and reacts to the humidity in the environment.