A variety of materials can be used for shaped charge liners. The characteristics of the explosives used, the liner material, the target material, and the depth of penetration, the distance the liner needs to travel, along with the desirable behind armor effects are considered when choosing the liner, liner geometry, and explosive. The best metals for liners have a face-centered cubic arrangement of atoms because they are the most ductile (the opposite of brittle). The deepest penetrations are achieved with dense ductile metal liners, where a very common choice is copper, but Tantalum was discovered to penetrate better due to its ductility at very high strain rates, which occur in the explosive forming of the penetration structure. Tantalum is preferred in munitions that have limitations in diameter, whereas copper is used in larger unlimited diameters.
The more pure a metal is, the more ductile it is. Copper is relatively inexpensive and quite common and available compared to other metals, and relatively nontoxic as compared to depleted uranium and other metals. Copper and tantalum penetrate steel quite well, but aluminum works well to penetrate concrete. Linear shaped charges for separating the stages of missiles can use, lead, aluminum, copper, and even gold and silver depending on how corrosive the environment is that they are mounted in.
So, copper is cheap, dense, ductile, available, and easily purified.
https://en.wikipedia.org/wiki/Shaped_charge