Think of it in terms of physics.
The energy in the bullet = mass (grain wt.) x velocity. A given pressure in the chamber from the burning gun powder will push a lighter bullet faster and a heavier bullet slower. Both will have the same energy leaving the barrel (assuming everything else -friction, etc. stays the same).
A heavier bullet will retain more energy (or will loose less energy) by the time it hits the target - there will be less energy lost to air friction since its going at a slower speed to start with - air friction increases at the square of the speed increase, so if the bullet goes twice as fast, the air friction will be 4 times as much. The heavier bullet has also got more inertia due to the greater weight.
Also, bigger bullets make bigger holes!
Does this help?