“Burning” in the sense I think you are using means “combining with oxygen”. Some fuels burn easier than others because they combine with oxygen better, faster, or at lower temperatures.
Releasing electrons is not “burning” in that sense, although it occasionally is spoken of that way. Releasing electrons happens in nuclear fission reactions, like in a nuclear reactor.
Density isn’t the limiting factor.
Some elements, like uranium and plutonium, are unstable. That is, their nuclei break down spontaneously, and the electrons fly out and hit other nuclei. That splits those other nuclei, which give off electrons, which hit other nuclei, etc. If you have enough mass of uranium, (the “critical mass”) this happens fast enough that you get a nuclear explosion. In a nuclear reaction, there are graphite rods and such stuck into the mass of uranium that absorb the emitted electrons enough that the reaction slows down and doesn’t explode. It does, however, give off heat. Lots of heat. The heat is used to boil liquid, which is used to spin turbines attached to electromagnets, and the electromagnets cause electric current to flow in the wires around the electromagnets and that gives electricity.
Internal combustion engines use different fuels, like gasoline and diesel. In internal combustion engines, gasoline is sprayed by a vaporizer (like a perfume dispenser) into the cylinder, where the spark plug sets the gasoline vapor off so it burns very rapidly. Burning very rapidly is what we call an explosion. This explosion creates very hot, expanding gas, which pushes on the piston inside the cylinder and the piston drives the wheels.
The reason we don’t use other fuels is cost. Oil is still cheap, at least compared to other fuel sources, and it is easily transported.
We could use other kinds of energy to drive a car, like electricity, but transporting electricity is hard because currently batteries to hold the electricity and drive the car are very heavy - much heavier that an amount of gasoline that would drive a gas-powered car the same distance would be.
I am not an engineer. No doubt someone with a better grasp of the subject will be along to correct my grosser errors, but it is not simply a question of using denser fuels.
Regards,
Shodan