Human perception systems can integrate audio and visual information automatically to obtain a profound understanding of real-world events. Accordingly, fusing audio and visual contents is important to solve the audio-visual event (AVE) localization problem. Although most existing works have fused audio and visual modalities to explore their relationship with attention-based networks, we can delve into their relationship more deeply to improve the fusion capability of the two modalities. In this paper, we propose a dense modality interaction network (DMIN) to elegantly leverage audio and visual information by integrating two novel modules, namely, the audio-guided triplet attention (AGTA) module and the dense inter-modality attention (DIMA) module. The AGTA module enables audio information to guide the network to pay more attention to event-relevant visual regions. This guidance is conducted in the channel, temporal, and spatial dimensions, which emphasize informative features, temporal relationships and spatial regions, to boost the capacity of representations. Furthermore, the DIMA module establishes the dense-relationship between audio and visual modalities. Specifically, the DIMA module leverages the information of all channel pairs of audio and visual features to formulate the cross-modality attention weight, which is superior to the multi-head attention module that uses limited information. Moreover, a novel unimodal discrimination loss (UDL) is introduced to exploit the unimodal and fused features together for more exact AVE localization. The experimental results show that our method is remarkably superior to the state-of-the-art methods in fully- and weakly-supervised AVE settings. To further evaluate the model's ability to build audio-visual connections, we design a dense cross modality relation network (DCMR) to solve the cross-modality localization task. DCMR is a simple deformation of a DMIN, and the experimental results further illustrate that DIMA can explore denser relationships between the two modalities. Code is available at https://github.com/weizequan/DMIN.git.