I live, and has lived for most of my live, in a big and dense city, one of the biggest in the eu. I lived, for a few years, also in a small village (~2k-3k people) that's now my (adopted) hometown. The city is definitely much more concrete heavy than the village. My sister still lives there in a much bigger home than me and her utility bills are identical to mine even given that I'm not at home half of the days for work or visiting her, so no the power consumption is much more dependent on the quality of the buildings. The other points are probably right, but I prefer the power lines to the rats and cockroaches, the garbage piling up on every corner, the smell, the noise, the crazies and junkies (we have those in my small hometown too but not even near in quantity or 'quality').

I get the impression that all the proponents of these 'high density' housing ideas haven't lived in a high density working class area ever, and probably wouldn't last long if they get themselves in one.