Dense medium cyclone (DMC) is widely used to upgrade run-of-mine coal in the coal industry. The flow within it is very complicated, with four phases (water, air, fine magnetite and coal) involved. To date, the underlying fundamentals are not well understood. In this work, the effect of particle density on the flow in a DMC is numerically studied to understand why coal type matters in DMC operation. The model used is a combined approach of discrete element method (DEM) and computational fluid dynamics (CFD). In the model, the motion of discrete mineral particles is obtained by DEM and the flow of medium (mixture of water, air and fine magnetites) phase by the traditional CFD. The simulated results are analysed in terms of medium and coal flow patterns, and particle-fluid, particle-particle and particle-wall interaction forces. It is shown that particles of different densities have significantly different effects on the flow in a DMC. The operational pressure, medium split and differential all decrease with the increase of particle density. The underlying mechanism is that different trajectories of particles of different densities lead to different spatial distributions of particle-fluid interaction forces which in turn yield different effects on the flow. The findings are useful to better understanding, designing and operating this complicated multiphase flow system.