The closer you get to the sun -- or in this case, the protostar that became the sun -- the hotter it gets. Obviously. That's important because it means that when you're close to the sun, it's too hot for many molecules to stay solid, and they'll evaporate (or rather, sublimate). It's very difficult for forming planets to accrete gases, so planets that form close to the sun will generally be denser.

Outside a certain radius, it will be cool enough for water to form ice, and the average density of solid material will plummet. The moons of the gas giants, and Kuiper Belt objects like Pluto are much less dense than Earth because they're made of much more water than Earth, by mass. Planetesimals in this part of the solar system can even grow large enough to start accreting the gases in the forming solar system and grow to incredible masses.

Of course, formation is not the end of the story. Our solar system is not static, and the planets can radically change their position with time. There are many examples of Jupiter sized exoplanets that orbit their stars further in than Mercury!