As you go up in load range for a given tire size, the tire is designed to handle more weight. So there is more material (rubber, steel, etc) used in making the tire to handle more weight. Since there is more material used in constructing the tire, they are heavier.
To piggy back off this, the Standard load range is what majority consumers purchase? The only reason why someone would want "E", is for more tread and haul heavier loads?