We discuss the universal relation between density and size of observed dark matter halos that was recently shown to hold on a wide range of scales, from dwarf galaxies to galaxy clusters. Predictions of cold dark matter (Lambda CDM) N-body simulations are consistent with this relation. We demonstrate that this property of Lambda CDM can be understood analytically in the secondary infall model. Qualitative understanding given by this model provides a new way to predict which deviations from Lambda CDM or large-scale modifications of gravity can affect universal behavior and, therefore, to constrain them observationally.