Follow the below steps to create a density map.
1. Select the measure, field ( level of hierarchy) required to show density map.
2. Now convert the measure from circle to density.
3. Blue would be set automatically, edit the color as per need, change the intensity and opacity from the color shelf.
To show the density map as per required area or geolocation that is not available in your dataset or if tableau doesn't recognize the value, then you can an external .csv file.
View here for more information on custom geocoding.
Hop it helps you.