The denser the material, the higher the weight possible in a smaller diameter bullet, ie, the denser the material, the higher the sectional density, which translates to a higher Bc.
If we have two bullets of the exact same shape and exterior size, and one is heavier because it is made of denser material, that bullet will have a higher Bc. It will also likely have a lower muzzle velocity due to the increase in weight, but it will retain more of it’s initial velocity downrange than a lighter bullet that starts with a higher muzzle velocity.
Downrange, the kinetic energy of a bullet is given by KE = 0.5 m*v^2. As velocity falls off, kinetic energy declines as the change in velocity squared - meaning that you’re better off launching heavier bullets and retaining more velocity than launching lighter pills and bleeding your speed away.
Mass, however, doesn’t “disappear” as the bullet is on the way to the target.