Tobacco smoke is not heavier. Weed smoke contains about twice as much tar and double the amount of other carcinogenic components as a comparable amount of tobacco smoke, plus it's not filtered to the same degree. That's why you still cough.

This is one of those topics that causes constant confusion among cannabis advocates because it's a bit of a paradox. Cannabis smoke is dirtier than tobacco smoke (proven repeatedly in tests) yet it actually does less harm since a) people smoke less of it and b) THC and the other cannabinoids have a protective effect.

Google "carcinogens in marijuana" and you can read all about it for yourself.