It doesn't make sense because the answer is so obvious, no one is likely to genuinely ask for a comparison between the weight of the two objects. There's a definite "Duh" answer. By contrast, "Which is heavier, lead or mercury?" or "feathers or dry leaves?" would not (in most cases) prime a "duh" answer, so people listen the question more carefully.

I'll admit there's a lot more to it, but I think that our understanding of the question is influenced by how its meaning is processed. If we hear "heavier... gold... feathers" we give an automatic response; if we hear "heavier... lead... mercury" we don't give the same automatic response, since the answer is not automatic - I'm pretty sure it's lead, but I wouldn't wager a large sum of money on it at very low odds, which I would do with gold being heavier (by volume) than feathers.