What are these "certain chemical compounds" denser than osmium?
This text was added as part of a refactoring/cleanup of the page in this edit in March 2013, where it replaced the text "Osmium and iridium are the densest known elements at standard conditions for temperature and pressure but not the densest materials." This older text was tagged with the note "Which are denser, at standard conditions?" It in turn was added in this edit in May 2011 by an anonymous editor (the IP address used is apparently registered to the Wyoming Community College Commission). The original wording, "Osmium is [...] not the densest material", is ambiguous, but could be read as referring to exotic forms of matter such as neutronium, in spite of the earlier "standard temperature and pressure" caveat.

In short, this likely derives from a well-meaning but misguided editor attempting to note the existence of much higher-density, non-chemical substances in an inappropriate place.