In radiation therapy, the accurate delineation of gross tumor volume (GTV) is crucial for treatment planning. However, it is challenging for head and neck cancer (HNC) due to the morphology complexity of various organs in the head, low targets to background contrast and potential artifacts on conventional planning CT images. Thus, manual delineation of GTV on anatomical images is extremely time consuming and suffers from inter-observer variability that leads to planning uncertainty. With the wide use of PET/CT imaging in oncology, complementary functional and anatomical information can be utilized for tumor contouring and bring a significant advantage for radiation therapy planning. In this study, by taking advantage of multi-modality PET and CT images, we propose an automatic GTV segmentation framework based on deep learning for HNC. The backbone of this segmentation framework is based on 3D convolution with dense connections which enables a better information propagation and takes full advantage of the features extracted from multi-modality input images. We evaluate our proposed framework on a dataset including 250 HNC patients. Each patient receives both planning CT and PET/CT imaging before radiation therapy (RT). Manually delineated GTV contours by radiation oncologists are used as ground truth in this study. To further investigate the advantage of our proposed Dense-Net framework, we also compared with the framework using 3D U-Net which is the state-of-the-art in segmentation tasks. Meanwhile, for each frame, the performance comparison between single modality input (PET or CT image) and multi-modality input (both PET/CT) is conducted. Dice coefficient, mean surface distance (MSD), 95th-percentile Hausdorff distance (HD95) and displacement of mass centroid (DMC) are calculated for quantitative evaluation. The dataset is split into train (140 patients), validation (35 patients) and test (75 patients) groups to optimize the network. Based on the results on independent test group, our proposed multi-modality Dense-Net (Dice 0.73) shows better performance than the compared network (Dice 0.71). Furthermore, the proposed Dense-Net structure has less trainable parameters than the 3D U-Net, which reduces the prediction variability. In conclusion, our proposed multi-modality Dense-Net can enable satisfied GTV segmentation for HNC using multi-modality images and yield superior performance than conventional methods. Our proposed method provides an automatic, fast and consistent solution for GTV segmentation and shows potentials to be generally applied for radiation therapy planning of a variety of cancer (e.g. lung, sarcoma, liver and so on).