There are two main problems about pneumothorax detection in X-ray images. The pneumothorax usually overlaps with tissues such as ribs and clavicles in X-ray images, easily causing missed diagnosis and the performance of the existing pneumothorax detection methods remain to be improved. The suspicious pneumothorax area detection cannot be exploited by the convolutional neural network-based algorithms, lacking the interpretability. Aiming at the problems, a novel method combining Dense convolutional Network (DenseNet) and gradient-weighted class activation mapping was proposed. Firstly, a large-scale chest X-ray dataset named PX-ray was constructed for model training and testing. Secondly, the output node of the DenseNet was modified and a sigmoid function was added after the fully connected layer to classify the chest X-ray images. In the training process, the weight of cross entropy loss function was set to alleviate the problem of data imbalance and improve the accuracy of the model. Finally, the parameters of the last convolutional layer of the network and the corresponding gradients were extracted, and the areas of the pneumothorax type were roughly located by gradient-weighted class activation mapping. The experimental results show that, the proposed method has the detection accuracy of 95.45%, and has the indicators such as Area Under Curve (AUC), sensitivity, specificity all higher than 0.9, performs the classic algorithms of VGG19, GoogLeNet and ResNet, and realizes the visualization of pneumothorax area.