There was a period in which I would say this was probably true -- perhaps from around 1400-1600, approximately -- but I don't think it is generally true.

The Roman Legionaries in Crassus's army were more heavily armored than the horse archers in Surena's army, but probably not as heavily armored as Surena's cataphracts.

Sometimes there were fairly similar armors used by Europeans and others. For example, the lorica segmentata-type armor used by the Romans and the coat-of-plates type armor used by the Chinese from the Qin dynasty (seen on the Terra Cotta warriors in stone form) had fairly similar principles, although the Roman version had longer, more continuous strips that might have been more protective, while the Chinese version with smaller plates might have been more flexible.

At other times, the difference might have been more marked -- for instance, the lamellar armors favored in the East (although used by some of the more eastward Europeans too, like Byzantines) have rather different design principles from the mailles favored in the West (although also used in the East, like mamluks). I don't think you can clearly say that one or the other is "heavier" than the other.

In the 1400-1600-ish period, Europeans (or at least the European elites) actually did have armor that was different from and generally more protective than what could generally be found elsewhere (I think both an English earl and a Japanese daimyo would have agreed on this -- Sengoku Jidai Japanese were eager to import “nanban” (European) armor, but I don’t think Europeans had much interest in Japanese armor except artistically). The advantage was temporary before more extensive use of firearms lead to Europeans lightening their armor load once again, but it was there. Why were articulated suits of plate manufactured in Milan, rather than Damascus or Delhi?

I’m not entirely sure. There are several possibilities that come to mind (tactical (non-Europeans had a different style of warfare in which armor was not as useful), social (the role of European noble as personal combatant and not just behind-lines commander), or technological (European tech was simply more advanced in this area)), but I don’t know enough to say. Right now, the technological explanation seems to be the one I have the fewest objections to -- but it kicks the can down the road a bit by leaving why Europeans had this technological edge in the first place unexplained.