Except they don't - heavier objects fall at the same rate (G - 9.8m/s^2) as lighter ones. You can experiment with this yourself - try rolling a ping pong ball and baseball down the same incline. You'll see they hit the bottom at the same speed (wind resistance is a thing, hence the incline, and you'll get more accurate results indoors).
Don't feel bad though - Aristotle got this wrong and it took until Galileo to get it right.