To create Point Heat Maps based on Point Density, you must first be in the Layer Editor and head to the Styles Tab. If you scroll down and open up the drop-down for Point Heat Maps, it gives you the option to either base it on an attribute, or on the Point Density. If you choose Point Density, it creates a heat map based on the number of points in the area rather than on an attribute associated with the layer. From there you can choose to adjust the Weight and Intensity, as well as Max Zoom, Radius at Zoom, and choose to adjust the Color Ramp manually (setting your own range) or automatically (choosing a Color Ramp).