Not necessarily no.
There are other factors to be considered when thinking about the right motor for your application. For example, the relationship between speed and torque that you require, do you need reliable positioning or intelligent control in this way?
A typical (though not always the case) feature of many motors with high power density is higher speeds and less torque. This may well mean that you then require additional gearing to get the speed and torque combination required for your project. Adding gearing adds inefficiencies and weight and therefore goes against the power density of the whole package.
Likewise stepper motors offer very poor power density but for certain applications are the only type of motor which can really achieve what needs to be done.
Equally, it is very much the case that high power density motors and control electronics are using relatively new technology and are therefore quite expensive at the current time. It is therefore quite likely if you’re working on a project that doesn’t require high power density (for example where mass is not a critical factor) then high power density options will make the project a lot more expensive than it needs to be.
Equally, it is worth noting that high power density motors are not more energy efficient in and of themselves. The major energy efficiency gains only come from mass critical projects such as drones or mobile devices where reducing mass can reduce the power requirement to achieve a given task.