The heavier weight the aircraft is then the greater the horizontal component of lift that is directed towards the live engine if the correct bank is applied in the engine out case.
This leads to less side force being required by the rudder to keep the nose straight and hence Vmc will be lower at heavier weights.
It could also be argued that at heavier weights the aircraft is naturally more stable due to greater inertia and any force which is trying to displace the aircraft (in this case a rolling and yawing moment) will have less effect than at lighter weights.