Heavy sniper rounds are quite dense. You can work out the specific gravity (density relative to water) at 3.8 of a 6mm 0.43g sniper round. Aluminum has a SG of 2.7 and steel has a SG of 7.8 to put things in perspective.
I note that my 0.43s aren't magnetic so I think steel isn't used as a filler. If you bust one in half, they're white inside so I suspect some oxide filler is used. Alumina for instance is white and has a SG of 3.97. However, it's hard stuff. I would guess it'd be hell on machinery to process alumina (abrasive) so some other oxide is probably used.
Want nearly free GBB gas?