If you're talking about the neutron it's because concrete has a lot of hydrogen. Alpha particles, beta particles, and light (gamma rays in this picture) interact with electrons, with the probability of being stopped increasing with electron density. Lead has a lot of electrons (its lower on the periodic table, called a "high z" element).

Neutrons, however, don't care about electrons and instead interact with the nucleus, with the probability of being stopped depending on the spin state of the nucleus and the neutron. This doesn't follow a specific pattern on the periodic table, but hydrogen has a big chance of interacting with the neutron while lead doesn't. Cadmium, boron, and I think lithium 7 also would stop neutrons easily (there are more of course but those are what I remember offhand).