Platinum is the only element that's at all reasonable (its density is about 3x that of iron). Denser elements are incredibly rare and/or radioactive. Now, if the "core" of this planet were a lot larger than Earth's core, this may be enough.
Now, if we go beyond the realm of chemistry, there could be a small (volume-wise) amount of neutronium at the center of the planet. Neutronium is a material crushed together so tightly that the electrons and protons of atoms have merged into neutrons. To give an example of its density, an amount of neutronium the size of a pin-tip would be as massive as the Empire States Building.
The problem with this is that neutronium is normally only found in neutron stars (the remnants of stars that went supernova), which have a mass much greater than our sun's, way bigger than what we're looking for. However, cosmologists have theorized that during the creation of the universe, relatively light neutron stars and black holes may have formed. It may be possible for one of these light neutron stars to have gathered mass around it to become a small, but massive planet.
Then again, it's a lot easier to just say its magic. In CC, the Black element has a lot of gravity-related effects. Perhaps a concetration of Black energy at the center of the planet could result in its increased gravity.