Population density is an index of studying population distribution pattern. But scale effects of population density have not been paid attention that should be paid in the past. Studying Shenyang city as a case, after spatializing population census data, this paper analyzes similarities and differences of population in ten kind of grains from statistical characters, spatial auto-correlation and spatial pattern, and proves that there are scale effects in population density. This paper argues that when using the index of population density to research urban population distribution pattern, the researchers have to confront scale effects, choose feasible scale, and pay more attention to scale of data sources, scale of analyzing, scale of results expressing and relationship among them and scaling.