As far as I know the only information we have comes from three passages in Tacitus, Plutarch, and Cassius Dio. Suetonius in his Life of Galba does not mention Sempronius Densus and says simply that "Oddly enough, no one present made any attempt at rescue, and all who were summoned to rally around him turned a deaf ear." He states that only a single company of Germans tried to reach the Forum in defense of Galba but they arrived too late.

Plutarch places Densus' last stand in defense of Galba and so does Cassius Dio, but Tacitus in his Histories says that Densus made his last stand after Galba had already been slain in defense of Galba's adopted heir Piso so that he could have a chance to get away, although Piso was shortly found hiding in a temple and killed. Also while Plutarch and Cassius Dio identify Sempronius Densus as simply a centurion, Tacitus specifies that he was a centurion of the praetorian cohorts and had been specifically appointed by Galba to protect Piso.

Another thing is that soldiers weren't supposed to be armed in the city of Rome (though clearly Galba's assassins were) and this explains why, according to Tacitus, Sempronius Densus only seems to have been armed with dagger or pugio to defend himself, though Plutarch states he had a sword (but that could be an issue with translation). He almost certainly wouldn't have been wearing armor.

Suddenly there were seen approaching through the Basilica of Paulus some cavalry, and later some legionaries, who shouted to Galba with one voice: "Out of the way, citizen!" The crowd took to their heels, and dispersed, not in flight, but to occupy the porticoes and elevated parts of the Forum, as for a public spectacle. Atilius Vergilio then hurled a statue of Galba to the ground. The soldiers took this to be, as it were, a declaration of war, and hurled their spears from all sides at the litter: but Galba was untouched. They drew their swords and ran upon him. Not a soul raised a hand in his defense, not a soul offered resistance, save a single man, the only one amid the countless thousands upon whom the sun looked down that day, worthy to occupy the imperial throne of Rome. This hero was Sempronius Densus, a centurion, who, though he had received no personal benefits from Galba, stood forward to defend his litter for the sake of honor and the law. At first he only raised the cane, which centurions use to chastise such of their men that require it, and shouted to the advancing soldiers, ordering them to spare the Emperor's life: but, they closed in upon him, he drew his sword and defended himself a long while, until he fell wounded in both thighs. -- Plutarch, Life of Galba

Our own era can look upon one heroic man from that day, Sempronius Densus. He was a centurion of the praetorian cohorts and had been appointed by Galba to watch over Piso. With dagger drawn, he faced up to the armed men and denounced their crime. Now by gestures, now by words, he turned the assassins' attention upon himself. This gave Piso a chance to escape, wounded though he was. He got away to the temple of Vesta, where he was taken in through the pity of a state slave and hidden in his temple lodging. Thus, for a while, Piso managed to postpone the fatal moment, not thanks to the sanctity of the building or its daily ritual, but by lying low. At that moment came two men sent by Otho, who was burning to have Piso killed. One of these was Sulpicius Florus of the auxiliary cohorts serving in Britain, who had only recently been given Roman citizenship by Galba. The other was the imperial bodyguard Statius Marcus. These two dragged out Piso and murdered him at the door of the temple. -- Tacitus, Histories 1:43

So he was struck by a javelin hurled into the very chair in which he was being carried, was wounded at the very moment he was bending forward from it, and only said: "Why, what harm have I done?" Sempronius Densus, a centurion, defended him as long as he was able, and finally, when he could accomplish nothing, let himself be slain with his sovereign. This is why I have included his name, for he richly deserves to be mentioned. Piso was also killed and many others, but not in aiding the emperor. -- Cassius Dio, Epitome of Book 63

Sources:

Life of Galba by Plutarch

Histories by Tacitus

Epitome of Book 63 by Cassius Dio

Life of Galba by Suetonius