Because the aim of q bullet is not maximum possible penetration, it is maximum transfer of energy. Very hard tungsten or steel penetrators are sometimes used to defeat armor but generally speaking, they cause smaller and less damaging wounds that are less likely to disable an enemy.
Lead is soft and dense which are both useful traits for bullets as they engage with rifling better, and high density means they have more energy at a given size and speed, and they deform when striking a soft target which allows them to transfer their energy and create larger and more debilitating wounds.
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