It may not be your ingredients but other steps in the preparation process. For example:
1) Was the yeast good and did it proof before using it?
2) Was the dough kneaded until smooth and bounced back?
3) Did rise properly - did it over-rise?
4) did the dough get too hot while rising?

In general the pumpernickle breads I've been successful with have included additional Vital Wheat Gluten. Because Rye flour is low in gluten, it is difficult to get the gluten development that provides structure for the bread to rise (and get less dense).

Thank you both. I didn't use wheat gluten -maybe that was the problem. I will also monitor the rise more carefully. I'm new to baking bread but have been successful with plain white loaves. This weekend, second attempt!!

I second fearlessem's response. I always add gluten when using more than a tiny percentage of any non-wheat flour, for just this reason. I also allow for a longer rising, as that seems to help. ;o)