If you use volumetric measurements (cup measurements), chances are that the flour was not measured correctly. If too much flour is packed into the cup, then too much flour is added to the dough, which will result in dry, dense hot dog buns. The other thing that can cause dense hotdog buns is not letting the dough rise long enough (it needs to double in size) and the other reason it could be dense is from not kneading it long enough - it needs to be kneaded until the gluten informed and the dough passes the windowpane test. See the section on the windowpane test for more information.