When you say an item is "heavy" or "heavier", you are talking about its weight, which is measured in Newtons, or loosely as its corresponding mass, which is measured in kilo(gram)s. The mass and thus the weight in the same place of a kilogram of each of these two substances is the same. Perhaps you mean "denser"? That refers to the mass of a given volume of a substance, which would be much greater in the case of the iron. People also use the word "heavier" to mean "denser" when the quantity has not been specified, so they might say "iron is heavier than cotton".