We present numerical calculations of a four-point dynamic susceptibility, χ4(t), for the Kob-Andersen Lennard-Jones mixture as a function of temperature T and density ρ. Over a relevant range of T and ρ, the full t-dependence of χ4(t) and thus the maximum in χ4(t), which is proportional to the dynamic correlation volume, are invariant for state points for which the scaling variable ρ γ /T is constant. The value of the material constant γ is the same as that which superposes the relaxation time, τ , of the system versus ρ γ /T . Thus, the dynamic correlation volume is a unique function of τ for any thermodynamic condition in the regime where density scaling holds. Finally, we examine the conditions under which the density scaling properties are related to the existence of strong correlations between pressure and energy fluctuations.