What you are seeing is a combination of several things as you move across the diagram from left to right with increasing planet radius. As this diagram 
from a talk by Cayman Unterborn at the recent "Know Thy Star - Know Thy Planet" conference shows, is a transition from rocky (like Mars, Venus, Earth; the 'Ma', 'V' and 'E' on the diagram) exoplanets with increasing density as ~1.5 Earth radii is reached to "Neptune-like" gas giants with increasing amount of a gas envelope, possibly with a denser core. (The size and type of Jupiter's core is not a totally settled question for example and so the wider range of exoplanets could have a wide variety of core properties). There is a lot more information in this blog post on 'Which small exoplanets are rocky' which talks about what we can learn about planets in the 0.5 to 4 Earth radius regime.
At higher radii (approximately 11 Earth radii/1 Jupiter radius) what you are seeing is the effect of electron-degeneracy pressure. This causes the radii of exoplanets with a mass of about Jupiter, brown dwarfs up to 80 times the mass of Jupiter and low mass M dwarf stars (with a mass of hundreds of Jupiters) all to have very similar radii but with widely varying densities. This causes the near-vertical line on the right hand side of your plot. This is also what makes it very difficult to know whether you have a star, brown dwarf or a planet if you only a measure of a transiting object's radius (from e.g. Kepler) and don't have a mass measurement (usually from radial velocities) to go with it.
