In as much as it can hurt your KW density, it's really only a small amount. For one thing, you would have to be getting many/long comments for it to be that marked a difference, and that many comments would bring far more in terms of traffic than you'd lose for KW density. For another, much of the time those comments will feature the keywords anyway, by mere dint of the fact that they are about the same subject matter. Overall, a lot of comments is good news for your site, not least because people will come back to read responses to their comments, and more comments beget more traffic.